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- W4226375360 abstract "In this paper, we study the empirical spectral distribution of Spearman’s rank correlation matrices, under the assumption that the observations are independent and identically distributed random vectors and the features are correlated. We show that the limiting spectral distribution is the generalized Marc̆enko–Pastur law with the covariance matrix of the observation after standardized transformation. With these results, we compare several classical covariance/correlation matrices including the sample covariance matrix, Pearson’s correlation matrix, Kendall’s correlation matrix and Spearman’s correlation matrix." @default.
- W4226375360 created "2022-05-05" @default.
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- W4226375360 date "2022-09-01" @default.
- W4226375360 modified "2023-10-03" @default.
- W4226375360 title "Limiting spectral distribution of large dimensional Spearman’s rank correlation matrices" @default.
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- W4226375360 doi "https://doi.org/10.1016/j.jmva.2022.105011" @default.
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