Acta mathematica scientia, Series B >
LARGE DEVIATION FOR THE EMPIRICAL CORRELATION COEFFICIENT OF TWO GAUSSIAN RANDOM VARIABLES
Received date: 1900-01-01
Revised date: 2006-01-15
Online published: 2007-10-20
In this article, the author obtains the large deviation principles for the
empirical correlation coefficient of two Gaussian random variables
X and Y. Especially, when considering two independent Gaussian
random variables X, Y with the means EX, EY (both known), wherein the author gives two kinds of different proofs and gets the same results.
Key words： Large deviation; empirical correlation coefficient
Shen Si . LARGE DEVIATION FOR THE EMPIRICAL CORRELATION COEFFICIENT OF TWO GAUSSIAN RANDOM VARIABLES[J]. Acta mathematica scientia, Series B, 2007 , 27(4) : 821 -828 . DOI: 10.1016/S0252-9602(07)60079-4
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