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Annual Progress Seminar |
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Date |
27 Feb Tuesday, 3 pm |
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Venue |
Ramanujan Hall |
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Host |
Monika Bhattacharjee |
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speaker |
Raunak Shevade |
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Affiliation |
IIT Bombay |
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Title |
Limiting spectral distribution of large Kendall's correlation matrix and its application |
Abstract: The limiting spectral distribution (LSD) of high-dimensional Kendall's correlation matrix and tests of independence based on this matrix have been studied in the literature when observations are absolutely continuous with respect to the Lebesgue measure, and are independent and identically distributed. We investigate the LSD of this matrix under much weaker assumptions which accommodate discrete and/or non-identical observations, and also identify the limit distribution by using free probability. We also propose a graphical test of independence under these assumptions.