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A NEW PROCEDURE FOR ASSESSING LARGE SETS OF CORRELATIONS |
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| Authors: | M. A. Cameron G. K. Eagleson |
| Affiliation: | CSIRO Division of Mathematics &Statistics, Sydney, Australia |
| Abstract: | In this paper, a new test of the hypothesis that all the correlations between a set of variables are zero is proposed. It is based on the asymptotic behaviour of the largest of the observed correlation coefficients. Here “asymptotic” refers to the size of the correlation matrix considered. Simulations show that the critical levels, calculated using the asymptotic theory, are conservative but quite accurate, even for small correlation matrices. |
| Keywords: | Product-moment correlation coefficients Spearman's rank correlation coefficient Kendall's tau Poisson limit theorem: Multiple comparisons |