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.
References
Primary source
Hamid Karamikabir and Mohammad Arashi, “Mens: Nonlinear shrinkage estimation in nonparanormal models for financial applications”, arXiv:2607.19825 (2026).
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