Another Marcenko-Pastur law for Kendall's tau

Pierre Bousseyroux, Tomas Espana, Matteo Smerlak

Bandeira et al. (2017) show that the eigenvalues of the Kendall correlation matrix of $n$ i.i.d. random vectors in ${\mathbb{R}}^p$ are asymptotically distributed like $1/3 + (2/3)Y_…