Unbiased estimator of correlation coefficient

Veronika Jurková; Ivan Žežula; Daniel Klein; Ondrej Hutník

doi:10.1080/03610926.2020.1743314

Unbiased estimator of correlation coefficient

Veronika Jurková^*, Ivan Žežula, Daniel Klein, Ondrej Hutník

^*Bijbehorende auteur voor dit werk

Onderzoeksoutput › Academic › peer review

1 Citaat (Scopus)

Samenvatting

We study estimation of the correlation ρ in the multivariate linear model with uniform correlation structure. Unbiased estimator of ρ based on moment estimator proposed by Žežula (2006) is derived. Biased and unbiased estimators are compared by bias and mean square error under normal and t-distribution.

Originele taal-2	English
Pagina's (van-tot)	95-115
Aantal pagina's	21
Tijdschrift	Communications in Statistics - Theory and Methods
Volume	51
Nummer van het tijdschrift	1
DOI's	https://doi.org/10.1080/03610926.2020.1743314
Status	Published - 2022
Extern gepubliceerd	Ja

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AU - Klein, Daniel

AU - Hutník, Ondrej

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AB - We study estimation of the correlation ρ in the multivariate linear model with uniform correlation structure. Unbiased estimator of ρ based on moment estimator proposed by Žežula (2006) is derived. Biased and unbiased estimators are compared by bias and mean square error under normal and t-distribution.

KW - hypergeometric function

KW - Multivariate linear model

KW - normal distribution

KW - t-distribution

KW - unbiased estimator

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DO - 10.1080/03610926.2020.1743314

M3 - Article

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JF - Communications in Statistics. Part A: Theory and Methods

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