Null distribution of multiple correlation coefficient under mixture normal model
Hydar Ali, Daya Krishna Nagar · International Journal of Mathematics and Mathematical Sciences · 2002
The multiple correlation coefficient is used in a large variety of statistical tests and regression problems. In this article, we derive the null distribution of the square of the sample multiple correlation coefficient, R2, when a sample is drawn from a mixture of two multivariate Gaussian populations. The moments of 1 − R2 and inverse Mellin transform have been used to derive the density of R2.