Spectral analysis of large dimensional Chatterjee's rank correlation matrix
By: Zhaorui Dong, Fang Han, Jianfeng Yao
Potential Business Impact:
Finds if numbers in a big group are related.
This paper studies the spectral behavior of large dimensional Chatterjee's rank correlation matrix when observations are independent draws from a high-dimensional random vector with independent continuous components. We show that the empirical spectral distribution of its symmetrized version converges to the semicircle law, and thus providing the first example of a large correlation matrix deviating from the Marchenko-Pastur law that governs those of Pearson, Kendall, and Spearman. We further establish central limit theorems for linear spectral statistics, which in turn enable the development of Chatterjee's rank correlation-based tests of complete independence among the components.
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