The Generalized Fisher Transformation: Finite-Sample Properties and Inference

Ilya Archakov; Peter Reinhard Hansen

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arXiv · 2606.13864

The Generalized Fisher Transformation: Finite-Sample Properties and Inference

Ilya Archakov·Peter Reinhard Hansen

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Abstract

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 orthogonality and invariance make GFT-based inference far better behaved in finite samples than inference based on sample correlations or element-wise Fisher transformed correlations, yielding estimation errors that are approximately Gaussian, weakly dependent, and nearly pivotal.

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Ilya Archakov, Peter Reinhard Hansen. 2026-06-11. The Generalized Fisher Transformation: Finite-Sample Properties and Inference. https://arxiv.org/abs/2606.13864

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