Asymptotic Distribution of Centralized r When Sampling from Cauchy

Publication date 26 December 2018

Abstract: Assume that

X

and

Y

are independent random variables, each having a Cauchy distribution with a known median. Taking a random independent sample of size

n

of each

X

and

Y

, one can then compute their centralized empirical correlation coefficient

r

. Analytically investigating the sampling distribution of this

r

appears possible only in the large

n

limit; this is what we have done in this article, deriving several new and interesting results.

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