Distribution of the Sample Correlation Matrix and Applications
نویسندگان
چکیده
منابع مشابه
Distribution of the Sample Correlation Matrix and Applications
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 ...
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Let {X,Xk,i; i ≥ 1, k ≥ 1} be a double array of nondegenerate i.i.d. random variables and let {pn; n ≥ 1} be a sequence of positive integers such that n/pn is bounded away from 0 and ∞. This work is devoted to the solution to an open problem posed in Li, Liu, and Rosalsky (2010) on the asymptotic distribution of the largest entry Ln = max1≤i<j≤pn ∣∣ρ̂(n) i,j ∣∣ of the sample correlation matrix Γ...
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چکیده: فرض کنید که تابعی از اپسیلون یک مجموع نامتناهی از احتمالات موزون مربوط به مجموع های جزئی براساس یک دنباله از متغیرهای تصادفی مستقل و همتوزیع باشد، و همچنین فرض کنید توابعی مانند g و h وجود دارند که هرگاه امید ریاضی توان دوم x متناهی و امیدریاضی x صفر باشد، در این صورت می توان حد حاصلضرب این توابع را بصورت تابعی از امید ریاضی توان دوم x نوشت. حالت عکس نیز برقرار است. همچنین ما با استفاده...
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ژورنال
عنوان ژورنال: Open Journal of Statistics
سال: 2014
ISSN: 2161-718X,2161-7198
DOI: 10.4236/ojs.2014.45033