covDcorNorm {TestCor}

Returns the theoretical covariance of test statistics for correlation testing.

Description

Returns the theoretical covariance of test statistics for correlation testing.

Usage

covDcorNorm(cor_mat, stat_test = "empirical")

Arguments

cor_mat

A correlation matrix

stat_test

'empirical'

\sqrt{n}*abs(corr)

'fisher'

\sqrt{n-3}*1/2*\log( (1+corr)/(1-corr) )

'student'

\sqrt{n-2}*abs(corr)/\sqrt(1-corr^2)

'2nd.order'

\sqrt{n}*mean(Y)/sd(Y) with Y=(X_i-mean(X_i))(X_j-mean(X_j))

Value

Returns the theoretical covariance of the test statistics.

See Also

covDcor, covD2nd, eval_stat

Examples

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')