Translator Disclaimer
December, 1972 On the Correlation Coefficient of a Bivariate, Equal Variance, Complex Gaussian Sample
Toby Berger
Ann. Math. Statist. 43(6): 2000-2003 (December, 1972). DOI: 10.1214/aoms/1177690873

Abstract

Let $u_n$ denote the sample correlation coefficient for $n$ observations from a bivariate, equal variance, complex Gaussian distribution. In this note we derive the exact distribution of $u_n$ by extending a method of Mehta and Gurland to the complex case. The asymptotic behavior of $E|u_n|^k$ as $n \rightarrow \infty$ is determined via the method of steepest descent. Applicability of the results to the analysis of certain estimators of spectral parameters of stationary time series is discussed.

Citation

Download Citation

Toby Berger. "On the Correlation Coefficient of a Bivariate, Equal Variance, Complex Gaussian Sample." Ann. Math. Statist. 43 (6) 2000 - 2003, December, 1972. https://doi.org/10.1214/aoms/1177690873

Information

Published: December, 1972
First available in Project Euclid: 27 April 2007

zbMATH: 0252.62032
MathSciNet: MR350961
Digital Object Identifier: 10.1214/aoms/1177690873

Rights: Copyright © 1972 Institute of Mathematical Statistics

JOURNAL ARTICLE
4 PAGES


SHARE
Vol.43 • No. 6 • December, 1972
Back to Top