On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence
Abstract
This paper investigates limiting spectral distribution of a high-dimensional Kendall's rank correlation matrix. The underlying population is allowed to have general dependence structure. The result no longer follows the generalized Marcenko-Pastur law, which is brand new. It's the first result on rank correlation matrices with dependence. As applications, we study the Kendall's rank correlation matrix for multivariate normal distributions with a general covariance matrix. From these results, we further gain insights on Kendall's rank correlation matrix and its connections with the sample covariance/correlation matrix.
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