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Make SECFisher more accurate #366

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eviatarbach opened this issue Feb 10, 2024 · 1 comment
Closed

Make SECFisher more accurate #366

eviatarbach opened this issue Feb 10, 2024 · 1 comment
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@eviatarbach
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Currently, SECFisher uses the sample correlation $r$ as the best estimate for the true correlation. However, due to the skew of the sampling the distribution, this is not the case. Instead, the true correlation $\rho$ can be better approximated as $\rho\approx \frac{\exp(2\text{arctanh}({r})) - 1}{\exp(2\text{arctanh}({r})) + 1}$.

@eviatarbach eviatarbach self-assigned this Feb 10, 2024
@eviatarbach
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Actually, this is equivalent to plugging in the sample correlation directly.

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