Distribution of sample correlation coefficients

Khursheed Alam

Naval Research Logistics Quarterly, 1979, vol. 26, issue 2, 327-330

Abstract: Let (Y, Xl,…, XK) be a random vector distributed according to a multivariate normal distribution where Xl,…, XK are considered as predictor variables and y is the predictand. Let ri, and Ri denote the population and sample correlation coefficients, respectively, between Y and Xi. The population correlation coefficient ri is a measure of the predictive power of Xi. The author has derived the joint distribution of Rl,…, RK and its asymptotic property. The given result is useful in the problem of selecting the most important predictor variable corresponding to the largest absolute value of ri.

Date: 1979
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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:26:y:1979:i:2:p:327-330

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