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Q140Section III (Statistics)140 of 180

Fisher's variance-stabilising zz-transformation

Suppose {(Xi,Yi)}\{(X_i,Y_i)\} is a random sample from a bivariate normal distribution with correlation coefficient ρ\rho, and

n (rn−ρ)⟶dN(0,(1−ρ2)2).\sqrt{n}\,(r_n-\rho) \overset{d}{\longrightarrow} N\bigl(0,(1-\rho^{2})^{2}\bigr).

Which transformation g(⋅)g(\cdot) gives n(g(rn)−g(ρ))⟶dN(0,1)\sqrt{n}\bigl(g(r_n)-g(\rho)\bigr)\overset{d}{\longrightarrow} N(0,1)?

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