Re: [R] Sampling distribution (PDF & CDF) of correlation

On Thu, 17 Jul 2008, Mike Lawrence wrote: Hi all, I'm looking for an analytic method to obtain the PDF & CDF of the sampling distribution of a given correlation (rho) at a given sample size (N). See Fisher (1915) Biometrika. It is non-central t up to a monotone transformation. Finding th

Re: [R] Sampling distribution (PDF & CDF) of correlation

See Chapter 22 in N.L. Johnson, S. Kotz, and N. Balakrishnan, "Continuous Univariate Distributions", Volume 2, Second Edition, 1995. Maria On Thu, Jul 17, 2008 at 11:29 AM, Mike Lawrence <[EMAIL PROTECTED]> wrote: > Hi all, > > I'm looking for an analytic method to obtain the PDF & CDF of the s

[R] Sampling distribution (PDF & CDF) of correlation

Hi all, I'm looking for an analytic method to obtain the PDF & CDF of the sampling distribution of a given correlation (rho) at a given sample size (N). I've attached code describing a monte carlo method of achieving this, and while it is relatively fast, an analytic solution would obvio