1. APS seminar
Time, Day and Date: Tuesday 17th September, 3:30 pm
Speaker: Priyanka Sen
Venue : Room 113
Title : Large sample behaviour of high-dimensional Kendall's correlation
matrices with dependence
Abstract : The limiting spectral distribution (LSD) of Kendall's
correlation matrix has been established in the literature under conditions
of row dependence. However, the assumptions used in prior works are
non-interpretable and difficult to validate, especially in non-Gaussian
settings. In this talk, we shall discuss the same under more interpretable
assumptions that are easier to visualize and can be validated in a wider
range of non-Gaussian models. Moreover, we shall discuss the joint
convergence of multiple Kendall's correlation matrices and the LSD of
polynomials formed from these matrices. This significantly extends the
existing results in the study of the high-dimensional random matrices.