CONDITIONAL INFERENCE ABOUT AN EQUICORRELATION COEFFICIENT

SenGupta (1987) proposed a locally most powerful test which is globally (one sided) unbiased, and an estimator of p, the equicorrelation coefficient of a standard symmetric multivariate normal (SSMN) distribution. Here we use the idea in Williams (1984) to illustrate the construction and use of ancillary statistics to make inference about p. The test and confidence intervals based on this construction are conditionally optimal.