Spectral equivalence of normal-scores and Kendall rank inputs
Spectral equivalence of normal-scores and Kendall rank inputs
Let be the normal-scores covariance and let be the sin-transformed Kendall matrix. Assume . Spectral equivalence of rank inputs. The two matrices have the same limiting empirical spectral distribution, even though
\left\\|\widehat{\bm{S}}_n-\widehat{\bm{\Sigma}}^{\tau}\right\\|_{\mathrm{op}}does not vanish. A proof would need controls beyond the operator-norm and normalized Frobenius estimates currently used, which the paper's simulations indicate are insufficient for establishing the claimed spectral equivalence.
Progress summary
Nothing recorded yet. Refresh searches the literature and the public web for attempts on this problem, and writes the first summary here.
Sources & referencesView supporting material
Primary source
Hamid Karamikabir and Mohammad Arashi, “Mens: Nonlinear shrinkage estimation in nonparanormal models for financial applications”, arXiv:2607.19825 (2026).
Solutions 0
Sign in to submit a solution.
No solutions have been posted yet.