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标题：Marčenko-Pastur law for Kendall’s tau
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作者：Afonso S. Bandeira ; Asad Lodhia ; Philippe Rigollet 等
期刊名称：Electronic Communications in Probability
印刷版ISSN：1083-589X
出版年度：2017
卷号：22
DOI：10.1214/17-ECP59
语种：English
出版社：Electronic Communications in Probability
摘要：We prove that Kendall’s Rank correlation matrix converges to the Marčenko Pastur law, under the assumption that observations are i.i.d random vectors $X_1, \ldots , X_n$ with components that are independent and absolutely continuous with respect to the Lebesgue measure. This is the first result on the empirical spectral distribution of a multivariate $U$-statistic.