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On the Effects of Non‐Normality on the Distribution of the Sample Product‐Moment Correlation Coefficient

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  • Charles J. Kowalski

Abstract

Samples from non‐normal bivariate distributions are simulated and the densities of the sample product‐moment correlation coefficient, r, estimated and compared with the corresponding normal theory densities. The results are contrasted with the literature on the subject and an attempt is made to reconcile some of the earlier conflicting conclusions regarding the robustness of the distribution of r.

Suggested Citation

  • Charles J. Kowalski, 1972. "On the Effects of Non‐Normality on the Distribution of the Sample Product‐Moment Correlation Coefficient," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 21(1), pages 1-12, March.
    • Handle: RePEc:bla:jorssc:v:21:y:1972:i:1:p:1-12
    DOI: 10.2307/2346598
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