XX.—On the Theory of Statistical Regression

1. The product moment distribution in the general case of p normal variates, obtained in 1928 (1), and again in 1933 (2), has been awaiting further analysis. Some indication has already been given (Wishart, 1928) that new results might be expected from it; in the particular case of two variates obtained previously by Fisher (3), it has been used to deduce the distributions of the correlation coefficient (3), co-variance (4), and regression coefficient (5). In the general case, it has been used by Wilks (6) to furnish a proof of Fisher's distribution of the multiple correlation coefficient (7), and also in connection with his idea of a generalized variance (8). Further analysis appears to be most fruitful in studying statistical regression in general. It is shown in Part I of this paper that the product moment distribution can be split up into a chain of independent factors. Most of the known distributions related to regression or partial correlation are simply obtained, in a manner which clearly indicates the relations they bear to one another; the distribution of a partial regression coefficient of any order is also readily derived.