A matrix derivation of the asymptotic covariance matrix of sample correlation coefficients

DOI10.1016/0024-3795(85)90191-0zbMath0567.62039OpenAlexW2069285483MaRDI QIDQ1059953

Daan G. Nel

Publication date: 1985

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0024-3795(85)90191-0

zbMATH Keywords

asymptotic covariance matrixsample correlation matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

The asymptotic covariance matrix of sample correlation coefficients under general conditions ⋮ Tests for equality of parameter matrices in two multivariate linear models ⋮ On the treatment of correlation structures as covariance structures ⋮ Asymptotic expansion of the sample correlation coefficient under nonnormality ⋮ Asymptotic biases in exploratory factor analysis and structural equation modeling ⋮ On the distribution of the maximum likelihood estimator of Cronbach's alpha ⋮ A solution to the multivariate behrens-fisher problem ⋮ The normal-theory and asymptotic distribution-free (ADF) covariance matrix of standardized regression coefficients: theoretical extensions and finite sample behavior ⋮ The asymptotic variance matrix of the sample correlation matrix

Cites Work

• Vec and vech operators for matrices, with some uses in jacobians and multivariate statistics
• The Elimination Matrix: Some Lemmas and Applications
• Symmetric Matrix Derivatives with Applications
• The analysis of patterned correlation matrices by generalized least squares
• On direct product matrices
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