Computer algebra application to the distribution of sample correlation coefficient

Let r be the sample correlation coefficient. In this paper, we clarify the role of computer algebra to obtain an asymptotic expansion for probability integrals of r. A key technique is to use a change of bases of the module of symmetric polynomials. We describe an algorithm for accomplishing it. We derive the asymptotic cumulants of r in terms of population cumulants. An approximate distribution of r is also given.

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Year of publication:	1998
Authors:	Nakagawa, Shigekazu ; Niki, Naoto ; Hashiguchi, Hiroki
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 45.1998, 1, p. 23-32
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010870741