## Abstract

Several procedures have been proposed for testing the hypothesis that all off-diagonal elements of the correlation matrix of a multivariate normal distribution are equal. If the hypothesis of equal correlation can be accepted, it is then of interest to estimate and perhaps test hypotheses for the common correlation. In this paper, two versions of five different test statistics are compared via simulation in terms of adequacy of the normal approximation, coverage probabilities of confidence intervals, control of Type I error, and power. The results indicate that two test statistics based on the average of the Fisher z-transforms of the sample correlations should be used in most cases. A statistic based on the sample eigenvalues also gives reasonable results for confidence intervals and lower-tailed tests.

Original language | English (US) |
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Pages (from-to) | 185-203 |

Number of pages | 19 |

Journal | Journal of Statistical Computation and Simulation |

Volume | 24 |

Issue number | 3-4 |

DOIs | |

State | Published - Jul 1 1986 |

Externally published | Yes |

## Keywords

- Correlation matrix
- eigenvalues
- equicorrelation
- normal approximation
- power
- significance level

## ASJC Scopus subject areas

- Statistics and Probability
- Modeling and Simulation
- Statistics, Probability and Uncertainty
- Applied Mathematics