The asymptotic covariance matrix of sample correlation coefficients under general conditions (Q1081247): Difference between revisions

A general matrix expression for the asymptotic covariance matrix of correlation coefficients is derived. It is applicable when the data are drawn from any distribution with finite fourth order moments. The result is specialized to the cases where the data have a distribution from the elliptical class and where the sample covariance matrix has a noncentral Wishart distribution.