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Vector correlation for elliptical distributions |
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| Authors: | Robert Ctéroux Gilles R. Ducharme |
| Affiliation: | 1. Département d'informatique et de recherche opérationnelle , Université de Montréal , C.P. 6128, Motntré'al, Québec, H3C 3J7, Canada;2. Département de mathématiques et de statistique , Université de Montréal , C.P.6128, Montréal, Québec, H3C 3J7, Canada |
| Abstract: | A measure of multivariate correlation between two sets of vectors is considered when the underlying joint distribution is a member of the class of elliptical distributions. Its asymptotic distribution is derived under different situations and these results are used to test hypotheses on vector correlation when the underlying joint distribution is non-normal. |
| Keywords: | Vector correlation Multivariate association Elliptical distribution |