The distribution of the sample correlation coefficient under variance-truncated normality

• Published in: Metrika Vol. 87; no. 5; pp. 471 - 497
• Main Author: Ogasawara, Haruhiko
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer Berlin Heidelberg 01.07.2024; Springer Nature B.V
• Subjects: Bivariate analysis; Correlation coefficients; Economic Theory/Quantitative Economics/Mathematical Methods; Hypergeometric functions; Mathematics and Statistics; Normality; Probability density functions; Probability Theory and Stochastic Processes; Statistics; Variance; Stripe truncation; Multivariate normality; Sample variances and covariances; Multivariate gamma function; Weighted hypergeometric functions; Wishart distribution

The non-null distribution of the sample correlation coefficient under bivariate normality is derived when each of the associated two sample variances is subject to stripe truncation including usual single and double truncation as special cases. The probability density function is obtained using seri...