Null distribution of multiple correlation coefficient under mixture normal model (Q1608176)
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scientific article; zbMATH DE number 1779112
| Language | Label | Description | Also known as |
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| English | Null distribution of multiple correlation coefficient under mixture normal model |
scientific article; zbMATH DE number 1779112 |
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Null distribution of multiple correlation coefficient under mixture normal model (English)
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12 August 2002
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Summary: The multiple correlation coefficient is used in a large variety of statistical tests and regression problems. In this article, we derive the null distribution of the square of the sample multiple correlation coefficient, \(R^{2}\), when a sample is drawn from a mixture of two multivariate Gaussian populations. The moments of \(1-R^{2}\) and inverse Mellin transform have been used to derive the density of \(R^{2}\).
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