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Confidence intervals for the correlation coefficient

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  • Jeyaratnam, S.

Abstract

The most popular method of setting confidence intervals for the correlation coefficient is based on the normal approximation to the Fisher Z-transformation. In this paper a lesser known and minimally investigated method for the construction of confidence intervals for the correlation coefficient is reconsidered. These intervals are established to be conservative and numerically confirmed to be tight in the sense that the actual coverage probability is close to a preset value. For a given sample size and confidence coefficient, the interval based on the normal approximation to the Z-transformation either contains the reconsidered interval, or is liberal for at least some values of the population correlation coefficient.

Suggested Citation

  • Jeyaratnam, S., 1992. "Confidence intervals for the correlation coefficient," Statistics & Probability Letters, Elsevier, vol. 15(5), pages 389-393, December.
    • Handle: RePEc:eee:stapro:v:15:y:1992:i:5:p:389-393
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    Cited by:

    1. Dümbgen, Lutz, 1998. "Perturbation Inequalities and Confidence Sets for Functions of a Scatter Matrix," Journal of Multivariate Analysis, Elsevier, vol. 65(1), pages 19-35, April.
    2. Ohtani, Kazuhiro, 2000. "Bootstrapping R2 and adjusted R2 in regression analysis," Economic Modelling, Elsevier, vol. 17(4), pages 473-483, December.

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