Conditional-Normal Regression Models
条件正态回归模型AI 解读 ↓
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A relatively complete discussion is provided for the limiting distributions of certain sample correlation coefficients and sample correlation ratios. It is assumed for the random variables X and Y that the conditional distribution of Y, given X = x, is multivariate normal with a constant, but unknown, covariance matrix and that the distribution of X has finite fourth moments. The sample coefficients are then based on a random sample from the (X, Y)-distribution. For the case of a univariate random variable X the limit laws are shown to depend on the X-distribution only through its coefficient of excess. In other cases they are determined from the coefficients of excess of univariate distributions closely related to the distribution of X.