We study the large-sample joint distribution of Z, the 1/2p(p - 1) Fisher z-transforms of the elements in a p variable correlation matrix. Under the null hypothesis of equal population correlations ...

This example defines modules to compute correlation coefficients between numeric variables and standardized values for a set of data. /* Module to compute correlations */ start corr; n=nrow(x); /* ...

For a symmetric correlation matrix, the Inverse Correlation Matrix table contains the inverse of the correlation matrix, as shown in Figure 40.14. The diagonal elements of the inverse correlation ...

Random sampling from a multivariate normal distribution is essential for Monte Carlo simulations in many credit risk models. For a portfolio of N obligors, standard methods usually require O(N2) ...

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This is a preview. Log in through your library . Abstract The asymptotic variance of a statistic used to test the equality of the smallest latent roots of a correlation matrix is computed. This ...