The asymptotic variance matrix of the sample correlation matrix
DOI10.1016/0024-3795(90)90363-HzbMATH Open0716.62025MaRDI QIDQ753330FDOQ753330
Authors: Heinz Neudecker, A. M. Wesselman 
Publication date: 1990
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
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- scientific article; zbMATH DE number 966732
- scientific article; zbMATH DE number 1047758
covariance matrixsample correlation matricespopulation-sample decomposition methodLindeberg-Lévy central limit theorem
Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20) Central limit and other weak theorems (60F05)
Cites Work
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Cited In (25)
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- High-dimensional correlation matrix estimation for general continuous data with Bagging technique
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- The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix
- Estimation of a multiplicative correlation structure in the large dimensional case
- Asymptotic properties of a correlation matrix under a two-step monotone incomplete sample
- Joint Diagnosis of High-Dimensional Process Mean and Covariance Matrix based on Bayesian Model Selection
- Inference on the eigenvalues of the normalized precision matrix
- A sandwich-type standard error estimator of SEM models with multivariate time series
- The asymptotic covariance matrix of sample correlation coefficients under general conditions
- Approximations to the distribution of the sample correlation matrix
- Corrigendum to: ``Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
- Principal loading analysis
- A note on the estimator of the alpha coefficient for standardized variables under normality
- Asymptotic expansion of the sample correlation coefficient under nonnormality
- Tensor products and statistics
- Spectral Bayesian network theory
- Asymptotic biases in exploratory factor analysis and structural equation modeling
- Title not available (Why is that?)
- The asymptotic variance matrices of the sample correlation matrix in elliptical and normal situations and their proportionality
- Compact matrix expressions for generalized Wald tests of equality of moment vectors
- On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes
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