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Correlation in a Singly Truncated Bivariate Normal Distribution IV. Empirical Variances of Rank Correlation Coefficients

โœ Scribed by M. A. Aitkin and M. W. Hume


Book ID
124279891
Publisher
Oxford University Press
Year
1968
Tongue
English
Weight
222 KB
Volume
55
Category
Article
ISSN
0006-3444

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Minimax variance estimation of a correla
โœ Georgy L. Shevlyakov; Nikita O. Vilchevski ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 115 KB

A minimax variance (in the Huber sense) estimator of a correlation coe cient for -contaminated bivariate normal distributions is given by the trimmed correlation coe cient. Consistency and asymptotic normality of this estimator are established, and the explicit expression for its asymptotic variance