I've seen in book 'Testing Statistical Hypotheses' by Lehmann that Sqrt(n-2) * R / Sqrt( 1 - R^2 ) ~ t(n-2) where R = S(XY) / Sqrt( S(XX) * S(YY) ); Xi, Yi ~ N(m, s^2) are independed variables I'm interested how to get distribution of R?
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