Normalizing and variance stabilizing transformations of multivariate statistics under an elliptical population
Normalizing and variance stabilizing transformations of a sample correlation, multiple correlation and canonical correlation coefficients are obtained under an elliptical population. It is shown that the Fisher's z-transformation is efficient for these statistics. A normalizing transformation is also studied for a latent root of a sample covariance matrix in an elliptical sample.
scientific article; zbMATH DE number 4013774
scientific article