Distribution of Sample Correlation Coefficients.
CLEMSON UNIV S C DEPT OF MATHEMATICAL SCIENCES
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Let Y,X sub 1, ...,X sub K be a random vector distributed according to a multivariate normal distribution, and let R sub i denote the sample correlation coefficient between Y and X sub i. The joint distribution of R sub 1,..,R sub k are derived and given its asymptotic property.
- Statistics and Probability