Asymptotic properties of a correlation coefficient type statistic connected with the general linear model |
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| Authors: | Laurens De Haan Elselien Taconis-Haantjes |
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| Affiliation: | Erasmus University, Rotterdam, Netherlands |
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| Abstract: | It is proved that under certain conditions the conditional distribution of the sample multiple correlation coefficient given the ‘other’ observations in a multivariate normal distribution is asymptotically normal. Moreover a second-order approximation for the first moment is given. |
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