Raunak Shevade, IIT Bombay

Description

Annual Progress Seminar

Date

27 Feb Tuesday, 3 pm

Venue

Ramanujan Hall

Host

Monika Bhattacharjee

speaker

Raunak Shevade

Affiliation

IIT Bombay

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.

Description
Ramanujan Hall, Department of Mathematics
Date
Tue, February 27, 2024
Start Time
3:00pm IST
Priority
5-Medium
Access
Public
Created by
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Updated
Sun, February 25, 2024 8:34pm IST