Unbiased estimator of correlation coefficient

Veronika Jurková, Ivan Žežula, Daniel Klein and Ondrej Hutník

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 1, 95-115

Abstract: We study estimation of the correlation ρ in the multivariate linear model with uniform correlation structure. Unbiased estimator of ρ based on moment estimator proposed by Žežula (2006) is derived. Biased and unbiased estimators are compared by bias and mean square error under normal and t-distribution.

Date: 2022
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DOI: 10.1080/03610926.2020.1743314

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