A0501
Title: Limiting spectral distribution of large Kendall's correlation matrix and its application
Authors: Raunak Shevade - Indian Institute of Technology Bombay (India) [presenting]
Abstract: The limiting spectral distribution (LSD) of high-dimensional Kendall's correlation matrix and tests of independence based on this matrix have been studied in the literature when the observations are absolutely continuous with respect to the Lebesgue measure and are independent and identically distributed. The focus is on the LSD of Kendall's correlation matrix under much weaker assumptions, which accommodate discrete and/or nonidentical distributions and also identify the limit distribution using free probability. A graphical test of independence was also proposed under these assumptions.
