Testing Homogeneity of Two Correlation Coefficient

Let $(X_i, Y_i), i=1,2,\cdots, n$ be a random sample of $n$ pairs of observations drawn from a bivariate population with correlation coeffficient $\rho$.

Let $r$ be the observed correlation coefficient between $X$ and $Y$.

We wish to test the hypothesis $H_0 : \rho =\rho_0$ against $H_a : \rho \neq \rho_0$.


The test statistic for testing $H_0$ is $$ \begin{aligned} Z&=\dfrac{U-\xi}{\sqrt{\frac{1}{n-3}}} \end{aligned} $$ where $$ \begin{aligned} U&=\frac{1}{2}\log_e \bigg(\frac{1+r}{1-r}\bigg) \end{aligned} $$ and $$ \begin{aligned} \xi & =\frac{1}{2}\log_e \bigg(\frac{1+\rho_0}{1-\rho_0}\bigg) \end{aligned} $$ The test statistic $Z$ follows Standard normal distribution.

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