Calculation of Probability of Correlation Coefficient.

Keyword

Correlation Coefficient,Error analysis,Probability,Noise,Accuracy,Error.

Reference

[1]:『計測における誤差解析入門』(John R.Taylor.林茂雄・馬場凉訳).

Remarks

・Probability(|r|≧|r0|)=2*Γ((N-1)/2)/(π^0.5*Γ((N-2)/2))*∫[|r0|~1](1-r^2)^((N-4)/2)・dr.(Reference[1])
・To calculate the value of integral,Simpson's rule is applied.Therefore,it contains error.
・Simpson's rule:∫[x0~x2]f(x)≈h/3*[f(x0)+4*f(x1)+f(x2)].h=(x2-x0)/2.x1=(x0+x2)/2.

History

・2009/09/25:Upload.