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May, 1976 Selection of Largest Multiple Correlation Coefficients: Exact Sample Size Case
Khursheed Alam, M. Haseeb Rizvi, Herbert Solomon
Ann. Statist. 4(3): 614-620 (May, 1976). DOI: 10.1214/aos/1176343467


Consider $k(\geqq 2)$ independent $p$-variate $(p \geqq 2)$ normal distributions $N(\mathbf{\mu}_i, \Sigma_i), i = 1,2, \cdots, k$, where the mean vectors $\mathbf{\mu}_i$ and the covariance matrices $\Sigma_i$ are all unknown. Let $\theta_i$ denote for the $i$th distribution the squared population multiple correlation coefficient between the first variate and the set of $(p - 1)$ variates remaining. A procedure based on the natural ordering of the $k$ sample squared multiple correlation coefficients, each computed from a random sample of size $n(\geqq p + 2)$, is considered for the problem of selection of the $t(< k)$ largest $\theta_i$'s. Given $(1 - \theta_{\lbrack k - t\rbrack}) \geqq \delta(1 - \theta_{\lbrack k - t + 1\rbrack})$ and $\theta_{\lbrack k - t + 1\rbrack} \geqq \gamma\theta_{\lbrack k - t\rbrack}$, where $\theta_{\lbrack i\rbrack}$ denotes the $i$th smallest $\theta$ and $\delta > 1$ and $\gamma > 1$ are preassigned constants, it is shown that the probability of a correct selection is minimized for $\theta_{\lbrack i\rbrack} = (\delta - 1)/(\delta\gamma - 1), i = 1, \cdots, k - t$ and $\theta_{\lbrack i\rbrack} = \gamma(\delta - 1)/(\delta\gamma - 1), i = k - t + 1, \cdots, k$. For a given $P^\ast (< 1)$, the exact common sample size $n$ is then determined so that the infimum of the probability of a correct selection is not smaller than $P^\ast$. For $p = 2$, the problem reduces to selecting $t$ largest correlation coefficients from the $k$ bivariate normal distributions.


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Khursheed Alam. M. Haseeb Rizvi. Herbert Solomon. "Selection of Largest Multiple Correlation Coefficients: Exact Sample Size Case." Ann. Statist. 4 (3) 614 - 620, May, 1976.


Published: May, 1976
First available in Project Euclid: 12 April 2007

zbMATH: 0329.62024
MathSciNet: MR413334
Digital Object Identifier: 10.1214/aos/1176343467

Primary: 62F07
Secondary: 62H99

Keywords: exact sample size , indifference zone , least favorable configuration , multiple and simple correlation coefficients , Ranking and selection

Rights: Copyright © 1976 Institute of Mathematical Statistics

Vol.4 • No. 3 • May, 1976
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