Conservative confidence intervals on multiple correlation coefficient for high-dimensional elliptical data using random projection methodology

So called multiple correlation coefficient (MCC) is a measure of linear relationship between a given variable and set of covariates. In the multiple correlation and regression analysis, it is common practice to construct a confidence interval for the population MCC. In high-dimensional data settings...

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Veröffentlicht in:	Journal of applied statistics 2022-01, Vol.49 (1), p.64-85
1. Verfasser:	Najarzadeh, Dariush
Format:	Artikel
Sprache:	eng
Schlagworte:	conservative confidence intervals coverage probability elliptically symmetric family of distributions high-dimensional data Multiple correlation coefficient random projection
Online-Zugang:	Volltext
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