Distribution of the Sample Correlation Matrix and Applications
Distribution of the Sample Correlation Matrix and Applications作者机构：Department of Mathematics and Statistics Université de Moncton Moncton Canada
出 版 物：《Open Journal of Statistics》 (统计学期刊（英文）)
年 卷 期：2014年第4卷第5期
页 面：330-344页
学科分类：1002[医学-临床医学] 100214[医学-肿瘤学] 10[医学]
主 题：Correlation Normal Determinant Meijer G-Function No-Correlation Dependence Component Formatting Style Styling Insert
摘 要：For the case where the multivariate normal population does not have null correlations, we give the exact expression of the distribution of the sample matrix of correlations R, with the sample variances acting as parameters. Also, the distribution of its determinant is established in terms of Meijer G-functions in the null-correlation case. Several numerical examples are given, and applications to the concept of system de- pendence in Reliability Theory are presented.
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