The asymptotic covariance matrix of sample correlation coefficients under general conditions

DOI10.1016/0024-3795(86)90150-3zbMath0601.62077OpenAlexW2011956837WikidataQ127109394 ScholiaQ127109394MaRDI QIDQ1081247

Alexander Shapiro, Michael W. Browne

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0024-3795(86)90150-3

zbMATH Keywords

elliptical distributionsnoncentral Wishart distributionasymptotic covariance matrix of correlation coefficientsfinite fourth order momentsgeneral matrix expression

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites Work

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• The comparison of interdependent correlations between optimal linear composites
• The asymptotic distribution of elements of a correlation matrix: Theory and application
• Radial estimates and the test for sphericity
• Asymptotically distribution‐free methods for the analysis of covariance structures
• Measures of multivariate skewness and kurtosis with applications

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