We study the large-sample joint distribution of Z, the 1/2p(p - 1) Fisher z-transforms of the elements in a p variable correlation matrix. Under the null hypothesis of equal population correlations ...

The concept of correlations between different assets is a cornerstone of Markowitz's optimal portfolio theory, especially for risk management purposes (Markowitz 1968). In a nutshell, correlations ...

For a symmetric correlation matrix, the Inverse Correlation Matrix table contains the inverse of the correlation matrix, as shown in Figure 40.14. The diagonal elements of the inverse correlation ...

Let Q = (Q₁ ,..., Qn) be a random vector drawn from the uniform distribution on the set of all n! permutations of {1, 2, ..., n]. Let Z = (Z₁ ,..., Zn), where Zj is the mean zero variance one random ...