Distribution of the Sample Correlation Matrix and Applications

• 作者: Thu Pham-Gia Vartan Choulakian
• 来源期刊: 统计学期刊(英文)
• 学科: 医学
• 关键词: CORRELATION Normal DETERMINANT Meijer G-FUNCTION No-Correlation DEPENDENCE Component Formatting Style STYLING INSERT
• 年，卷（期）: 2014,（5）
• 页码范围: 330-344
• 页数: 15页
• 分类号: R73

摘要

For the case where the multivariate normal population does not have null correlations, we give the exact expression of the distribution of the sample matrix of correlations R, with the sample variances acting as parameters. Also, the distribution of its determinant is established in terms of Meijer G-functions in the null-correlation case. Several numerical examples are given, and applications to the concept of system de- pendence in Reliability Theory are presented.