Computer algebra application to the distribution of sample correlation coefficient

Shigekazu Nakagawa, Naoto Niki and Hiroki Hashiguchi

Mathematics and Computers in Simulation (MATCOM), 1998, vol. 45, issue 1, 23-32

Abstract: Let r be the sample correlation coefficient. In this paper, we clarify the role of computer algebra to obtain an asymptotic expansion for probability integrals of r. A key technique is to use a change of bases of the module of symmetric polynomials. We describe an algorithm for accomplishing it. We derive the asymptotic cumulants of r in terms of population cumulants. An approximate distribution of r is also given.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:45:y:1998:i:1:p:23-32

DOI: 10.1016/S0378-4754(97)00083-9

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