Returns the theoretical covariance of test statistics for correlation testing.
covDcorNorm(cor_mat, stat_test = "empirical")
A correlation matrix
\(\sqrt{n}*abs(corr)\)
\(\sqrt{n-3}*1/2*\log( (1+corr)/(1-corr) )\)
\(\sqrt{n-2}*abs(corr)/\sqrt(1-corr^2)\)
\(\sqrt{n}*mean(Y)/sd(Y)\) with \(Y=(X_i-mean(X_i))(X_j-mean(X_j))\)
Returns the theoretical covariance of the test statistics.
covDcor, covD2nd, eval_stat
# NOT RUN { p <- 10 corr_theo <- diag(1,p) corr_theo[2:p,] <- 0.3 corr_theo[,2:p] <- 0.3 covDcorNorm(corr_theo,stat_test='student') # }
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