Normalizing and variance stabilizing transformations of multivariate statistics under an elliptical population |
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| Authors: | Takesi Hayakawa |
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| Affiliation: | (1) Hitotsubashi University, Hitotsubashi, Japan |
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| Abstract: | Summary Normalizing and variance stabilizing transformations of a sample correlation, multiple correlation and canonical correlation coefficients are obtained under an elliptical population. It is shown that the Fisher'sz-transformation is efficient for these statistics. A normalizing transformation is also studied for a latent root of a sample covariance matrix in an elliptical sample. |
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| Keywords: | Elliptical population sample covariance matrix correlation coefficient multiple correlation coefficient canonical correlation coefficient latent root |
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