The asymptotic variance matrices of the sample correlation matrix in elliptical and normal situations and their proportionality

DOI10.1016/0024-3795(95)00351-7zbMath0843.62020OpenAlexW2062737963MaRDI QIDQ1914224

Heinz Neudecker

Publication date: 14 August 1996

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

Full work available at URL: https://doi.org/10.1016/0024-3795(95)00351-7

zbMATH Keywords

normal distributionsample correlation matrixelliptical distributionasymptotic variance matricesproportionality result

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (6)

Testing the equality of correlation matrices when sample correlation matrices are dependent ⋮ Compact matrix expressions for generalized Wald tests of equality of moment vectors ⋮ Asymptotic properties of a correlation matrix under a two-step monotone incomplete sample ⋮ A sandwich-type standard error estimator of SEM models with multivariate time series ⋮ Asymptotic expansion of the sample correlation coefficient under nonnormality ⋮ Asymptotic biases in exploratory factor analysis and structural equation modeling

Cites Work

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• The asymptotic variance matrix of the sample correlation matrix
• An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices

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