International Journal of Mathematics and Mathematical Sciences
Volume 30 (2002), Issue 4, Pages 249-255
doi:10.1155/S0161171202012838
Null distribution of multiple correlation coefficient under mixture normal model
Hydar Ali1
and Daya K. Nagar2
1Department of Mathematics and Computer Science, the University of the West Indies, St. Augustine, Trinidad and Tobago
2Departamento de Matemáticas, Universidad de Antioquia, Medellín A. A. 1226, Colombia
Abstract
The multiple correlation coefficient is used in a large variety of statistical tests and regression problems. In this article, we derive the null distribution of the square of the sample multiple correlation coefficient, R2, when a sample is drawn from a mixture of two multivariate Gaussian populations. The moments of 1−R2 and inverse Mellin transform have been used to derive the density of R2.