What Is the Correlation Coefficient? The correlation coefficient is a metric that measures the strength and direction of a relationship between two securities or variables, such as a stock and a ...

Consider a Gaussian vector z = (x′, y′)′, consisting of two sub-vectors x and y with dimensions p and q, respectively. With n independent observations of z, we study the correlation between x and y, ...

A second-order confirmatory factor analysis model is applied to a correlation matrix of Thurstone reported by McDonald (1985). Using the LINEQS statement, the three-term second-order factor analysis ...

Under the high-dimensional setting that the data dimension and sample size tend to infinity proportionally, we derive the limiting spectral distribution and establish the central limit theorem of the ...