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chancy
2001 Dec 21
1
pure statistical question
...nbiased
estimate of rho as well as its SE using the delta method.
I'm interested in confidence interval for r.
A simple method could be (I suppose) the classical one, i.e. using the
standard gaussian quantiles: r +/- 1.96*SE.
However because the ratio of two independent normal distribution is a Chaucy
distribution I was thinking about an "exact methods". But the Chaucy
distribution has not mean!!!
My question is
1)If b1 and b2 are independent (X1 and X2 orthogonal) which is the sense of
r and SE if the Chaucy distribution has not moments?
2) b1 and b2 are normal but not independent, th...