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Normalizing and variance stabilizing transformations of multivariate statistics under an elliptical population

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Summary

Normalizing and variance stabilizing transformations of a sample correlation, multiple correlation and canonical correlation coefficients are obtained under an elliptical population. It is shown that the Fisher'sz-transformation is efficient for these statistics. A normalizing transformation is also studied for a latent root of a sample covariance matrix in an elliptical sample.

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Authors and Affiliations

  1. Hitotsubashi University, Hitotsubashi, Japan

    Takesi Hayakawa

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  1. Takesi Hayakawa
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Hayakawa, T. Normalizing and variance stabilizing transformations of multivariate statistics under an elliptical population. Ann Inst Stat Math 39, 299–306 (1987). https://doi.org/10.1007/BF02491469

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  • DOI: https://doi.org/10.1007/BF02491469

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