The Generalized Fisher Transformation: Finite-Sample Properties and Inference (opens in new tab)

We study the finite-sample behavior of the Generalized Fisher Transformation (GFT), the parametrization of a correlation matrix $C$ by $\gamma(C)=\operatorname{vecl}\log C$. The GFT coordinates extend Fisher's transformation to dimension $n>2$: for elliptical data their finite-sample distributions are close to Gaussian. More strikingly, the coordinates are nearly uncorrelated and their covariance is largely invariant to $C$. This approximate ort...