Inferences on Correlation Coefficients in Some Classes of Nonnormal Distributions

Ke-Hai Yuan and Peter M. Bentler

Journal of Multivariate Analysis, 2000, vol. 72, issue 2, 230-248

Abstract: Correlation coefficients have many applications for studying the relationship among multivariate observations. Classical inferences on correlation coefficients are mainly based on the normality assumption. This assumption is hardly realistic in the real world, which implies that the procedures on correlation coefficients used in many statistical software packages may not be relevant to most data sets in practice. However, we show that the classical procedures, possibly after simple corrections, are also valid in classes of distributions with large skewnesses and heterogeneous marginal kurtoses. A useful class of nonnormal distributions is identified for each of several types of correlation coefficients. The marginals of these distributions may include a variety of univariate distributions with different shapes. The results generalize the classical procedures to much larger classes of distributions than previously known and give a better understanding of the historical controversy regarding the behavior of the sample correlation coefficient. An implication is that one need not be worried so much by the nonnormality of data sets when using these classical procedures, providing simple corrections are evaluated and possibly undertaken.

Keywords: pseudo elliptical distributions; skewness; kurtosis; canonical correlation coefficients; fisher's z-transformation (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (10)

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