Vector correlation for elliptical distributions
Robert Ctéroux, Gilles R. Ducharme · Communication in Statistics- Theory and Methods · 1989
A measure of multivariate correlation between two sets of vectors is considered when the underlying joint distribution is a member of the class of elliptical distributions. Its asymptotic distribution is derived under different situations and these results are used to test hypotheses on vector correlation when the underlying joint distribution is non-normal.