Asymptotic expansions for the distributions of functions of a correlation matrix

Sadanori Konishi

Journal of Multivariate Analysis, 1979, vol. 9, issue 2, 259-266

Abstract: This paper deals with asymptotic expansions for the non-null distributions of certain test statistics concerning a correlation matrix in a multivariate normal distribution. For this purpose an asymptotic expansion is given for the distribution of a function of the sample correlation matrix. As special cases of the resulting expansion, asymptotic expansions for the distributions of the sample correlation coefficient, Fisher's z-transformation and arcsine transformation are also given.

Keywords: Asymptotic; expansions; Non-null; distributions; of; test; statistics; Sample; correlation; matrix; Fisher's; z-transformation (search for similar items in EconPapers)
Date: 1979
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Citations: View citations in EconPapers (2)

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