Compute Normal-Theory Covariances for Correlations
Compute normal-theory covariances for correlations
a p x p matrix of correlations.
Number of observations.
A normal-theory covariance matrix of correlations.
Jeff Jones and Niels Waller
Nel, D.G. (1985). A matrix derivation of the asymptotic covariance matrix of sample correlation coefficients. Linear algebra and its applications, 67, 137–145.