Null distribution of multiple correlation coefficient under mixture normal model

Hydar Ali and Daya K. Nagar

International Journal of Mathematics and Mathematical Sciences, 2002, vol. 30, 1-7

Abstract:

The multiple correlation coefficient is used in a large variety of statistical tests and regression problems. In this article, we derive the null distribution of the square of the sample multiple correlation coefficient, R 2 , when a sample is drawn from a mixture of two multivariate Gaussian populations. The moments of 1 − R 2 and inverse Mellin transform have been used to derive the density of R 2 .

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:276817

DOI: 10.1155/S0161171202012838

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