In sampling from a bivariate normal distribution, it is true that the sample correlation
Chapter 9, Problem 9.6-8(choose chapter or problem)
In sampling from a bivariate normal distribution, it is true that the sample correlation coefficient R has an approximate normal distribution N[, (1 2)2/n] if the sample size n is large. Since, for large n, R is close to , use two terms of the Taylors expansion of u(R) about and determine that function u(R) such that it has a variance which is (essentially) free of p. (The solution of this exercise explains why the transformation (1/2) ln[(1+R)/ (1 R)] was suggested.)
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