Some useful integrals and their applications in correlation analysis |
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Authors: | Anwar H Joarder |
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Institution: | (1) Department of Mathematical Sciences, King Fahd University of Petroleum & Minerals, Dhahran, 31261, Saudi Arabia |
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Abstract: | The distribution of the product moment correlation coefficient based on the bivariate normal distribution is well known. Recently
in many business and economic data, fat tailed distributions especially some elliptical distributions have been considered
as parent populations. The normal and t-distributions are well known special cases of elliptical distribution. In this paper we derive some theorems involving double
integrals and apply them to derive the probability distribution of the correlation coefficient for some elliptical populations.
The general nature of the theorems indicates their potential use in probability distribution theory. |
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Keywords: | Correlation coefficient Double integrals Elliptical distribution Bivariate t-distribution |
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