Approximations to the distribution of the sample correlation matrix

DOI10.1016/S0047-259X(02)00037-4zbMath1023.62015MaRDI QIDQ1400011

Tõnu Kollo, Kaire Ruul

Publication date: 30 July 2003

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

matrix derivativemultivariate cumulantscharacteristic function of random matrixmultivariate density approximationmultivariate Taylor expansion

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

On a symbolic representation of non-central Wishart random matrices with applications ⋮ Asymptotic properties of a correlation matrix under a two-step monotone incomplete sample ⋮ Asymptotic expansion of the sample correlation coefficient under nonnormality

Cites Work

• The asymptotic variance matrix of the sample correlation matrix
• A local parameterization of orthogonal and semi-orthogonal matrices with applications
• Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• The \(d\)-variate vector Hermite polynomial of order \(k\)
• Approximating by the Wishart distribution
• A Unified Approach to the Approximation of Multivariate Densities
• On the Sampling Theory of Roots of Determinantal Equations
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