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math.ST2025
Ties, Tails and Spectra: On Rank-Based Dependency Measures in High Dimensions
Nina Dörnemann, Michael Fleermann, Johannes Heiny
This work is concerned with the limiting spectral distribution of rank-based dependency measures in high dimensions. We provide distribution-free results for multivariate empirical…
math.ST2024★ 1 cited
Detecting Spectral Breaks in Spiked Covariance Models
Nina Dörnemann, Debashis Paul
In this paper, the key objects of interest are the sequential covariance matrices and their largest eigenvalues. Here, the matrix is computed…