DISTRIBUTION OF THE CORRELATION-COEFFICIENT FOR THE CLASS OF BIVARIATE ELLIPTIC MODELS

被引：11

作者：

ALI, MM ^{[1
]}

JOARDER, AH ^{[1
]}

机构：

[1] UNIV WESTERN ONTARIO,DEPT STAT & ACTUARIAL SCI,LONDON N6A 5B9,ONTARIO,CANADA

来源：

CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE | 1991年 / 19卷 / 04期

关键词：

PEARSON PRODUCT-MOMENT CORRELATION; CORRELATION COEFFICIENT; PRODUCT-MOMENT CORRELATION; DISTRIBUTION OF CORRELATION COEFFICIENT; ELLIPTICALLY CONTOURED MODEL; BIVARIATE ELLIPTIC MODEL;

D O I：

10.2307/3315434

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider n pairs of random variables (X11, X21), (X12, X22),..., (X1n, X2n) having a bivariate elliptically contoured density of the form [GRAPHICS] where theta(1), theta(2) are location parameters and LAMBDA = ((lambda(ik))) is a 2 x 2 symmetric positive definite matrix of scale parameters. The exact distribution of the Pearson product-moment correlation coefficient between X1 and X2 is obtained. The usual case when a sample of size n is drawn from a bivariate normal population is a special case of the abovementioned model.

引用

页码：447 / 452

页数：6

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