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A ROBUST TEST FOR MULTIPLE COMPARISONS OF CORRELATION COEFFICIENTS 1
Author(s) -
Eagleson G. K.
Publication year - 1983
Publication title -
australian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1983.tb00378.x
Subject(s) - mathematics , correlation , statistics , rank correlation , parametric statistics , moment (physics) , physics , geometry , classical mechanics
Summary A limiting expression is derived for the tail of the distribution of the maximum of a set of product moment correlation coefficients. The technique used is quite general and may be applied to non‐normal observations as well as to rank correlation coefficients. The result obtained for the latter leads to a test procedure for multiple comparisons of these non‐parametric measures of dependence.