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sample correlation distribution function

version (1.6 KB) by Joshua Carmichael
Compute PDF for the sample correlation


Updated 07 Mar 2014

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This function computes the probability density function for the
correlation coefficient of a bivariate random variable.
y = corrdist(r, ro, n)

r: Vector of possible correlation random variables, i.e. the values at
which the pdf is evaluated at.
ro: The given (true) correlation coefficient, i.e. the population
correlation coefficient. length(ro) > 1 supported.
n: The number of samples in the correlated data. Only length(n) = 1

y: The probability density function for r, given ro, for n data
samples of a bivariate normal distribution.


Cite As

Joshua Carmichael (2021). sample correlation distribution function (, MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2009b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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