Is there a statistical test for the hypothesis that underlying population co variance matrix is diagonal but not multiple of identity matrix

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Ette Etuk

It will suffice to show that all covariances (which are off-diagonal entries of the dispersion matrix) are not significantly different from zero; in other words that the variables are uncorrelated. It has been shown that the test may be based on

z=tanh-1r where r is the correlation coefficient. Then z is the standard normal variate.

Debopam Ghosh

Thank you Sir for your reply to my query.

regards