Asymptotic Distribution of Centralized $r$ When Sampling from Cauchy

Abstract

Assume that $X$ and $Y$ are independent random variables, each having a Cauchy distribution with a known median. Taking a random independent sample of size $n$ of each $X$ and $Y$, one can then compute their centralized empirical correlation coefficient $r$. Analytically investigating the sampling distribution of this $r$ appears possible only in the large $n$ limit; this is what we have done in this article, deriving several new and interesting results.