covD2nd {TestCor} | R Documentation |
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
p <- 10
corr_theo <- diag(1,p)
corr_theo[2:p,] <- 0.3
corr_theo[,2:p] <- 0.3
covD2nd(corr_theo)
[Package TestCor version 0.0.2.2 Index]