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The density of the sample correlations under elliptical symmetry with or without the truncated variance-ratio

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  • Ogasawara, Haruhiko

Abstract

The probability density function (pdf) of the sample correlation coefficient, when the associated sample variance-ratio is variously truncated, is given for the bivariate elliptical distribution (elliptical symmetry) with some moments. It is derived that the joint pdf of the sample variance-ratios and correlation matrix with possible truncation under multivariate elliptical symmetry is unchanged irrespective of distinct elliptical distributions. A general condition for transformed sample variances and covariances to have an unchanged pdf under elliptical symmetry is given. Examples satisfying this condition are shown for the intraclass correlation, coefficient alpha and principal component analysis.

Suggested Citation

  • Ogasawara, Haruhiko, 2023. "The density of the sample correlations under elliptical symmetry with or without the truncated variance-ratio," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
    • Handle: RePEc:eee:jmvana:v:195:y:2023:i:c:s0047259x22001439
    DOI: 10.1016/j.jmva.2022.105152
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    References listed on IDEAS

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    1. Emily Kistner & Keith Muller, 2004. "Exact distributions of intraclass correlation and Cronbach's alpha with Gaussian data and general covariance," Psychometrika, Springer;The Psychometric Society, vol. 69(3), pages 459-474, September.
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    4. Sutradhar, Brajendra C. & Ali, Mir M., 1989. "A generalization of the Wishart distribution for the elliptical model and its moments for the multivariate t model," Journal of Multivariate Analysis, Elsevier, vol. 29(1), pages 155-162, April.
    5. Ogasawara, Haruhiko, 2021. "A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
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