Abstract: Given a bivariate normal sample of correlated variables,
(Xi, Yi), i = 1, . . . , n, an alternative estimator of Pearson’s correlation
coefficient is obtained in terms of the ranges, |Xi − Yi|.
An approximate confidence interval for ρX,Y is then derived, and
a simulation study reveals that the resulting coverage probabilities
are in close agreement with the set confidence levels. As well, a
new approximant is provided for the density function of R, the
sample correlation coefficient. A mixture involving the proposed
approximate density of R, denoted by hR(r), and a density function
determined from a known approximation due to R. A. Fisher is shown
to accurately approximate the distribution of R. Finally, nearly exact
density approximants are obtained on adjusting hR(r) by a 7th degree
polynomial.
Abstract: The density estimates considered in this paper comprise
a base density and an adjustment component consisting of a linear
combination of orthogonal polynomials. It is shown that, in the
context of density approximation, the coefficients of the linear combination
can be determined either from a moment-matching technique
or a weighted least-squares approach. A kernel representation of
the corresponding density estimates is obtained. Additionally, two
refinements of the Kronmal-Tarter stopping criterion are proposed
for determining the degree of the polynomial adjustment. By way of
illustration, the density estimation methodology advocated herein is
applied to two data sets.