The asymptotic variance matrix of the sample correlation matrix

DOI10.1016/0024-3795(90)90363-HzbMath0716.62025MaRDI QIDQ753330

A. M. Wesselman, Heinz Neudecker

Publication date: 1990

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

zbMATH Keywords

covariance matrixsample correlation matricesLindeberg-Lévy central limit theorempopulation-sample decomposition method

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites Work

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• Matrix differential calculus with applications to simple, Hadamard, and Kronecker products
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• Elliptical multivariate analysis
• The population-sample decomposition approach to multivariate estimation methods
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• The asymptotic distribution of elements of a correlation matrix: Theory and application
• The Elimination Matrix: Some Lemmas and Applications
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products

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