Limiting spectral distribution of large dimensional Spearman’s rank correlation matrices
Zeyu Wu, Cheng Wang
Topics & Concepts
MathematicsCovariance matrixSpearman's rank correlation coefficientRank correlationStatisticsRank (graph theory)CorrelationCircular lawSpectral power distributionCovarianceRandom matrixEstimation of covariance matricesMatrix (chemical analysis)Independent and identically distributed random variablesFisher transformationEigenvalues and eigenvectorsCombinatoricsRandom variablePhysicsSum of normally distributed random variablesMaterials scienceGeometryOpticsQuantum mechanicsComposite materialRandom Matrices and ApplicationsAdvanced Combinatorial MathematicsStatistical Methods and Bayesian Inference