Spectral statistics of large dimensional Spearman’s rank correlation matrix and its application

• Main Authors: Bao, Zhigang, Lin, Liang-Ching, Pan, Guangming, Zhou, Wang
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2015
• Online Access: https://hdl.handle.net/10356/81031; http://hdl.handle.net/10220/39014
• Institution: Nanyang Technological University

Let Q = (Q1, . . . ,Qn) be a random vector drawn from the uniform distribution on the set of all n! permutations of {1, 2, . . . ,n}. Let Z = (Z1, . . . ,Zn), where Zj is the mean zero variance one random variable obtained by centralizing and normalizing Qj , j = 1, . . . ,n. Assume that Xi, i = 1,...