Title of article
Robustness of Correlation Coefficient and Variance Ratio under Elliptical Symmetry
Author/Authors
JOARDER, ANWAR H Department of Mathematics and Statistic - King Fahd University of Petroleum and Minerals, Dhahran 31261, Saudi Arabia
Pages
8
From page
277
To page
284
Abstract
Parametric robustness of a statistic in a class of distributions implies that the distribution of the statistic is the same for any member of the class of distributions. The bivariate Wishart distribution, based on the class of bivariate elliptical distributions, involves three essential statistics, namely, two sample variances and the product moment correlation coefficient. The distribution of the product moment correlation coefficient is known to be robust in the class of bivariate elliptical distributions. In this paper, we prove that the distribution of the variance ratio is also robust in the class of bivariate elliptical distributions.
Keywords
Bivariate distribution , correlation coefficient , variance ratio , robustness , the class of elliptical distributions
Journal title
Bulletin of the Malaysian Mathematical Sciences Society
Serial Year
2013
Journal title
Bulletin of the Malaysian Mathematical Sciences Society
Record number
2686312
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