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Central Limit theory for the sample variance and correlation coefficient

Central Limit theory for the sample variance and correlation coefficient

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Published by Edward Omey

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Published by: Edward Omey on Feb 02, 2010
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08/17/2010

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Central limit theoremsfor variances and correlation coe¢cients
E. Omey and S. Van GulckHUB – Stormstraat 2, 1000 - Brussels, Belgium{edward.omey, stefan.vangulck}@hubrussel.beMarch 2008
Abstract
In many texbooks, the central limit theorem playes a prominent role. Instudying con…dence intervals for the mean
for example, the use of the centrallimit theorem is fully exploited. For large samples from an arbitrary distributionwith …nite second moment, we can always construct con…dence intervals and testhypothesis concerning
. In the same textbooks, in the treatment of the variance
2
and the correlation coe¢cient
, the analysis is usually restricted to samplesfrom normal distributions!In this paper we give a general and simple central limit appraoch to theseparameters and show that it is convenient but not necessary to restrict attentionto normal samples. Among others we discuss central limit theorems for thesample variance
s
2
, the sample correlation coe¢cient
r
and the ratio of samplevariances
s
22
=s
21
for paired and for unpaired samples.1
 
1 Introduction
Let
1
;
2
;:::;X 
n
denote a sample from
s
A
(
;
2
)
, where
A
is an arbitrarydistribution with
=
(
)
and
2
=
Var
(
)
. The sample mean is given by
=1
n
n
X
i
=1
i
.It is well known that
(
) =
and that
Var
(
) =
2
=n
. To calculateprobabilities concerning
is a more complicated problem. For small samplesthere are not many distributions for which the distribution of 
is known. Forlarge samples we can use the central limit theorem. The central limit theoremfor
states that as
n
!1
, we have
n
d
=
)
s
(0
;
1)
,i.e. we have
(
n
x
)
!
(
x
)
.We use the notation
t
(
;
2
=n
)
. In many cases this approximation workssu¢ciently well.The sample variances are given by
2
= (
)
2
=1
n
n
X
i
=1
(
i
)
2
,
s
2
=
nn
1(
)
2
=
nn
1(
2
2
)
.It is well known that
(
2
) =
(
s
2
) =
2
. For the variance, we …nd that
Var
(
2
) =1
nVar
((
)
2
)
.To calculate the variance of 
s
2
is, in general, much more complicated. For asample from the normal distribution
(
;
2
)
there are no problems. In thiscase we have
nS 
2
2
s
2
n
,
(
n
1)
s
2
2
s
2
n
1
and for large
n
we have
2
t
(
2
;
2
4
n
)
,
s
2
t
(
2
;
2
4
n
1)
.In the case of a sample from another distribution, these approximations areusually not valid. In section 2 of this paper, we provide a central limit theoremfor
2
and for
s
2
.In section 3 we state and prove a multivariate central limit theorem andthen apply a tranfer theorem to obtain central limit theorems for the samplecoe¢cient of variation
CV 
, the sample correlation coe¢cient
r
and the ratio of sample variances.2
 
2 Central Limit Theorem for
2
and
s
2
2.1 Central limit theorem for
2
In view of the de…nition of 
2
, using the ordinary central limit theorem, weimmediately obtain the following result.
Theorem 1
If 
1
;
2
;:::;X 
n
is a sample from 
where 
(
4
)
<
1
, then 
(
n
(
2
2
)
x
)
!
(
x
)
where 
s
(0
;
2
)
with 
2
=
Var
((
)
2
)
.
Proof.
Apply the central limit theorem to
i
= (
i
)
2
.
Remark.
Note that
2
is related to the kurtosis
 
(
)
of 
. Recall thatthe kurtosis is de…ned as:
 
(
) =
((
)
4
)
4
3 =
Var
((
)
2
)
4
2
.We …nd that
2
= (
 
(
) + 2)
4
.
2.2 Central limit theorem for
s
2
To prove a central limit theorem for
s
2
, we rewrite
s
2
as follows. We have
(
n
1)
s
2
=
n
X
i
=1
(
i
(
))
2
=
n
X
i
=1
(
i
)
2
+
n
(
)
2
2(
)
n
X
i
=1
(
i
)=
nS 
2
n
(
)
2
It follows that
n
(
s
2
2
) =
nn
1
n
(
2
2
) +
nn
1
2
nn
1
n
(
)
2
(1)We prove the following result.
Theorem 2
If 
1
;
2
;:::;X 
n
is a sample from 
where 
(
4
)
<
1
, then 
(
n
(
s
2
2
)
x
)
!
(
x
)
where 
s
(0
;
2
)
with 
2
=
Var
((
)
2
)
.
3

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