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Fisher’s Tanh−1 Transformation of the Correlation Coefficient and a Test for Complete Independence in a Multivariate Normal Population

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  • John R. Reddon

Abstract

Computer sampling from a multivariate normal spherical population was used to evaluate Type I error rates for a test of P = I based on Fisher’s tanh −1 variance stabilizing transformation of the correlation coefficient. The range of variates considered was 5 to 25 and Type I error rates were estimated for several sample sizes with 2,500 independent replications. Except for small samples the test was well behaved. After the test converges to an acceptable Type I error rate it is preferable to Box’s test of P = I.

Suggested Citation

  • John R. Reddon, 1987. "Fisher’s Tanh−1 Transformation of the Correlation Coefficient and a Test for Complete Independence in a Multivariate Normal Population," Journal of Educational and Behavioral Statistics, , vol. 12(3), pages 294-300, September.
    • Handle: RePEc:sae:jedbes:v:12:y:1987:i:3:p:294-300
    DOI: 10.3102/10769986012003294
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