Concentration inequalities for the sample correlation coefficient
Statistics Theory
2024-01-23 v1 Statistics Theory
Abstract
The sample correlation coefficient plays an important role in many statistical analyses. We study the moments of under the bivariate Gaussian model assumption, provide a novel approximation for its finite sample mean and connect it with known results for the variance. We exploit these approximations to present non-asymptotic concentration inequalities for . Finally, we illustrate our results in a simulation experiment that further validates the approximations presented in this work.
Cite
@article{arxiv.2401.12190,
title = {Concentration inequalities for the sample correlation coefficient},
author = {Daniel Salnikov},
journal= {arXiv preprint arXiv:2401.12190},
year = {2024}
}
Comments
10 pages, preprint