Confidence intervals for the correlation coefficient

S. Jeyaratnam

Statistics & Probability Letters, 1992, vol. 15, issue 5, 389-393

Abstract: The most popular method of setting confidence intervals for the correlation coefficient is based on the normal approximation to the Fisher Z-transformation. In this paper a lesser known and minimally investigated method for the construction of confidence intervals for the correlation coefficient is reconsidered. These intervals are established to be conservative and numerically confirmed to be tight in the sense that the actual coverage probability is close to a preset value. For a given sample size and confidence coefficient, the interval based on the normal approximation to the Z-transformation either contains the reconsidered interval, or is liberal for at least some values of the population correlation coefficient.

Keywords: David's; tables; Fisher's; Z-transformation; hypergeometric; differential; equation; hypergeometric; function; likelihood; ratio; test (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (2)

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