B0661
Title: On limiting spectral distribution of Spearman's and Kendall's rank correlation matrices with general dependence
Authors: Cheng Wang - Shanghai Jiao Tong University (China) [presenting]
Abstract: The spectral distribution of eigenvalues of Spearman's and Kendall's rank correlation matrices is studied, under the assumption that the observations are i.i.d. random vectors with non-paranormal distributions. It is the first result on rank correlation matrices with dependence.
