Analytic posteriors for Pearson's correlation coefficient

DOI10.1111/STAN.12111MaRDI QIDQ6089157zbMATH OpenWikidataFDO

Authors Alexander Ly, Maarten Marsman, Eric-Jan Wagenmakers

Publication date 14 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1510.01188

zbMATH Keywords

bivariate normal distributionhypergeometric functionsreference priors

Mathematics Subject Classification ID

Special functions (33-XX) Parametric inference (62Fxx) Multivariate analysis (62Hxx)

Abstract: Pearson's correlation is one of the most common measures of linear dependence. Recently, Bernardo (2015) introduced a flexible class of priors to study this measure in a Bayesian setting. For this large class of priors we show that the (marginal) posterior for Pearson's correlation coefficient and all of the posterior moments are analytic. Our results are available in the open-source software package JASP.

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Cited in

(8)

• Robust coefficients of correlation or spatial autocorrelation based on implicit weighting
• Objective Bayesian testing for the correlation coefficient under divergence-based priors
• The minimum Bayes factor hypothesis test for correlations and partial correlations
• Bayesian rank-based hypothesis testing for the rank sum test, the signed rank test, and Spearman's \(\rho\)
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