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A NEW PROCEDURE FOR ASSESSING LARGE SETS OF CORRELATIONS

 

作者: M. A. Cameron,   G. K. Eagleson,  

 

期刊: Australian Journal of Statistics  （WILEY Available online 1985）
卷期: Volume 27, issue 1  

页码: 84-95

 

ISSN:0004-9581

 

年代: 1985

 

DOI:10.1111/j.1467-842X.1985.tb00550.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Product‐moment correlation coefficients;Spearman's rank correlation coefficient;Kendall's tau;Poisson limit theorem: Multiple comparisons

 

数据来源: WILEY

 

摘要:

SummaryIn this paper, a new test of the hypothesis that all the correlations between a set of variables are zero is proposed. It is based on the asymptotic behaviour of the largest of the observed correlation coefficients. Here “asymptotic” refers to the size of the correlation matrix considered. Simulations show that the critical levels, calculated using the asymptotic theory, are conservative but quite accurate, even for small correlation matri

 

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