eval_stat {TestCor}

Evaluates the test statistics for tests on correlation matrix entries.

Description

Evaluates the test statistics for tests on correlation matrix entries.

Usage

eval_stat(data, type = "empirical")

Arguments

data

matrix of observations

type

'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 test statistics for correlation testing.

Examples

n <- 100
p <- 10
corr_theo <- diag(1,p)
data <- MASS::mvrnorm(n,rep(0,p),corr_theo)
stat <- eval_stat(data,'fisher')