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.
Citation
Zhigang Bao. "Tracy–Widom limit for Kendall’s tau." Ann. Statist. 47 (6) 3504 - 3532, December 2019. https://doi.org/10.1214/18-AOS1786
Information