Tracy-Widom limit for Kendall's tau

12/04/2017

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

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Tracy-Widom limit for Kendall's tau

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Tracy-Widom limit for Kendall's tau

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