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math.PR2026
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 i.i.d. random vectors in are asymptotically distributed like $1/3 + (2/3)Y_…
math.PR2026
Random Matrices and U-Statistics
Florent Benaych-Georges, Tomas Espana
We introduce a family of coefficients based on U-statistics that generalize the notion of correlation and explore their properties in the large dimensional multivariate case, showi…