Interval Estimation for the Correlation Coefficient

• Main Author: Jung, Aekyung
• Format: Others
• Published: Digital Archive @ GSU 2011
• Subjects: Bootstrap; Coverage Probability; Empirical Likelihood; Fisher's z-transformation; Generalized pivotal quantity; Jackknife
• Online Access: http://digitalarchive.gsu.edu/math_theses/109; http://digitalarchive.gsu.edu/cgi/viewcontent.cgi?article=1109&context=math_theses

The correlation coefficient (CC) is a standard measure of the linear association between two random variables. The CC plays a significant role in many quantitative researches. In a bivariate normal distribution, there are many types of interval estimation for CC, such as z-transformation and maximum likelihood estimation based methods. However, when the underlying bivariate distribution is unknown, the construction of confidence intervals for the CC is still not well-developed. In this thesis, we discuss various interval estimation methods for the CC. We propose a generalized confidence interval and three empirical likelihood-based non-parametric intervals for the CC. We also conduct extensive simulation studies to compare the new intervals with existing intervals in terms of coverage probability and interval length. Finally, two real examples are used to demonstrate the application of the proposed methods.