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On eigenvalues of a high dimensional Kendall's rank correlation matrix with dependences
This paper investigates limiting spectral distribution of a high-dimensional Kendall's rank correlation matrix. The underlying population is allowed to have general dependence structure. The result no longer follows the generalized Mar\u{c}enko-Pastur law which is a brand new limiting spectral distribution for sample covariance/correlation matrices. It's the first result on rank …