2046 wrote: > Thanks, will read the Chapter.
>
> hmm So why is the T-statistic used in determining the significance of
> correlation if the distribution of r does not follow a student-t
> distribution. I have read that the correlation matrix is based on
> student t-distribution. Is this incorrect then?
If rho = 0 then r*sqrt((n-2)/(1-r^2)) ~ t[n-2], but r itself never has
a t-distribution, and the correlation matrix is certainly not based on
the t-distribution.
Re: Generating beta multivariate random variables ... > n-vectors of correlated random variables each with a univariate beta... > distribution.... > I have a correlation matrix that defines how the variables will be ... > obtain the desired correlation.... (sci.stat.math)
Re: Bayesian estimation of structured correlation/covariance ...correlation between a pair of paths. ... >> should formulate this as covariance matrix estimation with the ... > large step of using the Wishart/ inverse Wishart distribution for the ... > switch from viewing your problem as one of estimating the covarince ... (sci.stat.math)
Re: How to ensure data correlation ... Based upon the goodness of fit tests,...distribution for each variable seperately. ... was present in the original sample data.... See the recent thread "Data Simulation from Correlation matrix"... (sci.stat.math)
Re: distribution of sample correlation coefficient ... I am wanting to use the measured correlation...coefficient rho is known and deterministic. ...distribution might be a reasonable model as it is ... A large-sample approximation for the sampling distribution of r can be obtained from Fisher's z. ... (sci.stat.math)
