TestCor (version 0.0.2.2)

covD2nd: Returns the theoretical covariance of empirical correlations.

Description

Returns the theoretical covariance of empirical correlations.

Usage

covD2nd(r)

Arguments

r

a correlation matrix

Value

Returns the theoretical covariance of 2nd order statistics, \(\sqrt{n}*mean(Y)/sd(Y)\) with \(Y=(X_i-mean(X_i))(X_j-mean(X_j))\).

See Also

covDcor

Examples

# NOT RUN {
p <- 10
corr_theo <- diag(1,p)
corr_theo[2:p,] <- 0.3
corr_theo[,2:p] <- 0.3
covD2nd(corr_theo)
# }