Evaluates the test statistics for tests on correlation matrix entries.
eval_stat(data, type = "empirical")
matrix of observations
\(\sqrt{n}*abs(corr)\)
\(\sqrt{n-3}*1/2*\log( (1+corr)/(1-corr) )\)
\(\sqrt{n-2}*abs(corr)/\sqrt(1-corr^2)\)
\(\sqrt{n}*mean(Y)/sd(Y)\) with \(Y=(X_i-mean(X_i))(X_j-mean(X_j))\)
Returns the test statistics for correlation testing.
# NOT RUN { n <- 100 p <- 10 corr_theo <- diag(1,p) data <- MASS::mvrnorm(n,rep(0,p),corr_theo) stat <- eval_stat(data,'fisher') # }
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