Null distribution of multiple correlation coefficient under mixture normal model

Null Distribution of Multiple Correlation Coefficient under Mixture Normal Model

The multiple correlation coefficient is used in a large variety of statistical tests and regression problems. In this article, we derive the null distribution of the square of the sample multiple correlation coefficient, R2, when a sample is drawn from a mixture of two multivariate Gaussian populations. The moments of 1−R2 and inverse Mellin transform have been used to derive the density of R2.

Estimation of the Correlation Coefficient for Triangular Contingency Tables under the Bivariate Normal Distribution

Triangular contingency tables are a special class of incomplete contingency tables. Association and independence models are used to analyze such tables. Association models can be described in terms of the association parameters for the analysis of triangular contingency tables having ordered categories. The aim of this study is to show the relation between the association parameters of the unif...

Screening for a Multivariate Mixture Normal Distribution

Option pricing under a normal mixture distribution derived from the Markov tree model

We examine a Markov tree (MT) model for option pricing in which the dynamics of the underlying asset are modeled by a non-IID process. We show that the discrete probability mass function of log returns generated by the tree is closely approximated by a continuous mixture of two normal distributions. Using this normal mixture distribution and risk-neutral pricing, we derive a closed-form express...

Interval estimation for the normal correlation coefficient

Inference concerning the correlation coefficient of two random variables from the bivariate normal distribution has been investigated by many authors. In particular, Fisher [1915. Frequency distribution of the values of the correlation coefficient in samples from an indefinitely large population. Biometrika 10, 507–521] and Hotelling [1953. New light on the correlation coefficient and its trans...