Multivariate normal distribution sample correlation coefficients independence conditional independence
Issue Date:
2007
Publisher:
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 18, No 1, (2007), 379p-386p
Abstract:
We consider the joint distribution of the correlation coefficients for samples from multivariate standard normal distribution. Some marginal densities are obtained. Independence and conditional independence between sets of sample correlation coefficients are established.
