TITLE:
Distribution of the Sample Correlation Matrix and Applications
AUTHORS:
Thu Pham-Gia, Vartan Choulakian
KEYWORDS:
Correlation, Normal, Determinant, Meijer G-Function, No-Correlation, Dependence, Component, Formatting, Style, Styling, Insert
JOURNAL NAME:
Open Journal of Statistics,
Vol.4 No.5,
August
7,
2014
ABSTRACT: 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.