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Randomness of Correlation

This tutorial presents the intuitions of the randomness of sample correlation (spurious correlation) and the methodologies in derivations.
Some later sections are somewhat technical as rederived an old equation with more precise functions (in order to apply to fat tails) and showed the distribution of the maximum of d variables with n points per variable.
This paves the way to the real scientific work on random matric theory under fat tails and failure of Marchenko-Pastur.
CorrelationDistribution(10/16)
https://dl.dropboxusercontent.com/u/50282823/CorrelationDistribution.nb.pdf

2 Comments

  1. Link Doesn't Work wrote:

    The Link does not work.

    Tuesday, October 31, 2017 at 12:51 pm | Permalink
  2. John wrote:

    NNT may have a reason for deleting the DropBox version – probably updated. I uploaded a copy I had saved.

    Tuesday, October 31, 2017 at 1:13 pm | Permalink

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