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math.ST2016
Marčenko-Pastur Law for Kendall's Tau
Afonso S. Bandeira, Asad Lodhia, Philippe Rigollet
We prove that Kendall's Rank correlation matrix converges to the Marčenko-Pastur law, under the assumption that the observations are i.i.d random vectors , , with…
math.ST2016★ 47 cited
Optimality and Sub-optimality of PCA for Spiked Random Matrices and Synchronization
Amelia Perry, Alexander S. Wein, Afonso S. Bandeira +1
A central problem of random matrix theory is to understand the eigenvalues of spiked random matrix models, in which a prominent eigenvector is planted into a random matrix. These d…