Fisher’s Tanh−1 Transformation of the Correlation Coefficient and a Test for Complete Independence in a Multivariate Normal Population

John R. Reddon

Journal of Educational and Behavioral Statistics, 1987, vol. 12, issue 3, 294-300

Abstract: Computer sampling from a multivariate normal spherical population was used to evaluate Type I error rates for a test of P = I based on Fisher’s tanh −1 variance stabilizing transformation of the correlation coefficient. The range of variates considered was 5 to 25 and Type I error rates were estimated for several sample sizes with 2,500 independent replications. Except for small samples the test was well behaved. After the test converges to an acceptable Type I error rate it is preferable to Box’s test of P = I.

Keywords: correlation; Monte Carlo; multivariate independence; sphericity (search for similar items in EconPapers)
Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:sae:jedbes:v:12:y:1987:i:3:p:294-300

DOI: 10.3102/10769986012003294

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