کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1152504 | 958290 | 2011 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The estimation of the correlation coefficient of bivariate data under dependence: Convergence analysis
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The estimation of the correlation coefficient of bivariate data under dependence: Convergence analysis The estimation of the correlation coefficient of bivariate data under dependence: Convergence analysis](/preview/png/1152504.png)
چکیده انگلیسی
Let {Xi,Yi}{Xi,Yi} be jointly distributed second-order random variables with correlation coefficient rr. The estimation of rr from the observations {Xi,Yi}i=1n is a classical problem which has been examined under the assumption of an i.i.d. setting. In this paper we examine the statistical properties of the correlation coefficient estimate when the process {Xi,Yi}{Xi,Yi} is dependent, constituting either a strongly mixing process or asymptotically uncorrelated. We establish convergence in probability (with rates) as well as asymptotic normality for the estimation error and present an explicit expression for the asymptotic variance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 81, Issue 8, August 2011, Pages 1039–1045
Journal: Statistics & Probability Letters - Volume 81, Issue 8, August 2011, Pages 1039–1045
نویسندگان
Elias Masry,