Analytic Posteriors for Pearson's Correlation Coefficient
Statistics Theory
2017-05-01 v2 Computation
Statistics Theory
Abstract
Pearson's correlation is one of the most common measures of linear dependence. Recently, Bernardo (2015) introduced a flexible class of priors to study this measure in a Bayesian setting. For this large class of priors we show that the (marginal) posterior for Pearson's correlation coefficient and all of the posterior moments are analytic. Our results are available in the open-source software package JASP.
Cite
@article{arxiv.1510.01188,
title = {Analytic Posteriors for Pearson's Correlation Coefficient},
author = {Alexander Ly and Maarten Marsman and Eric-Jan Wagenmakers},
journal= {arXiv preprint arXiv:1510.01188},
year = {2017}
}