The asymptotic variance matrix of the sample correlation matrix

DOI10.1016/0024-3795(90)90363-HzbMath0716.62025MaRDI QIDQ753330

Heinz Neudecker, A. M. Wesselman

Publication date: 1990

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

covariance matrix; sample correlation matrices; Lindeberg-Lévy central limit theorem; population-sample decomposition method

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

62H20: Measures of association (correlation, canonical correlation, etc.)

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Cites Work

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