3 papers
math.ST2026
Spectra of high-dimensional Spearman correlation matrices under scale-mixture dependence
Jean-Philippe Bouchaud, Pierre Bousseyroux, Tomas Espana +1
We study the asymptotic spectral properties of high-dimensional Spearman correlation matrices for scale-mixture data. We consider observations of the form $x_t=Ï_t ξ_t \in \mathb…
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_…
q-fin.ST2024
Kendall Correlation Coefficients for Portfolio Optimization
Tomas Espana, Victor Le Coz, Matteo Smerlak
Markowitz's optimal portfolio relies on the accurate estimation of correlations between asset returns, a difficult problem when the number of observations is not much larger than t…