Tracy-Widom limit for Kendall's tau

Zhigang Bao

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arXiv · 1712.00892

Tracy-Widom limit for Kendall's tau

Zhigang Bao

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Abstract

In this paper, we study a high-dimensional random matrix model from nonparametric statistics called the Kendall rank correlation matrix, which is a natural multivariate extension of the Kendall rank correlation coefficient. We establish the Tracy-Widom law for its largest eigenvalue. It is the first Tracy-Widom law for a nonparametric random matrix model, and also the first Tracy-Widom law for a high-dimensional U-statistic.

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BibTeX RIS

Zhigang Bao. 2020-05-15. Tracy-Widom limit for Kendall's tau. https://arxiv.org/abs/1712.00892

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