Correlation of ranges of correlated deviates
T. E. KURTZ, R. F. LINK, J. W. TUKEY, D. L. WALLACE, E.S.P.
Biometrika · 1966 · Volume 53 · Issue 1-2
DOI: 10.1093/biomet/53.1-2.191
Abstract
SUMMARY The correlation between ranges of correlated normal deviates is assessed, exactly for ranges of 2 and 3, approximately for ranges of 4 or more, with results modifying those of Hartley (1950). The approximation is asymptotic in the correlation between the deviates. The derivation is based on a lemma (§4) that should be useful for other statistics.
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