Spectral statistics of large dimensional Spearman’s rank correlation matrix and its application
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,...
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| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2015
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| Online Access: | https://hdl.handle.net/10356/81031 http://hdl.handle.net/10220/39014 |
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| Institution: | Nanyang Technological University |
| Language: | English |