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Superfrugalist:
Please refer to John Ehler's book for insight into the Fisher
Transformation. RA Fisher was a prominent English mathematician in the
last century. Besides his work on converting the skewed Pearson's "r"
to an approximately normal distribution (i.e., Fisher Transform), he
is associated with concepts such as the "student's t" distribution we
have all heard of in statistics. See the excerpt from a review of
Fisher's book below.
His work is explained in geometric terms by Charles F Bond in
Psychometrika (1936) Texas Christian University Article: "Seeing the
Fisher Z-Transformation". As it turns out, Fishers transform may be
stabilized slightly further by application of the Hotelling Transform
for small sample sizes (e.g,: short period lengths say n<25)
(Hotelling, H. (1953)."New light on the correlation coefficient and
its transform", Journal of the Royal Statistical Society, Series B 15:
193-232.
Thus, Fisher's work has been in mathematical circles for almost 100
years.
The Dynamic Market Lab includes both the Fisher Transform & the
Hotelling Transform
Hope these references are of benefit
Thank you,
Mike
The Dynamic Market Lab, LLC
____________________________________________________________________
A review from the web may help:
Student's Review of the 1st edition of R. A. Fisher's Statistical
Methods for Research Workers
Introduction
R. A. Fisher's Statistical Methods for Research Workers (1925) was
probably the most influential book on Statistics of the 20th century.
One of its many novelties was the importance it attached to "Student's
distribution". Chapter IV of the Methods took Student's rather
obscure paper of 1908, "The probable error of the mean", and
transformed it into one of the major works of statistics. Fisher's
book made Student's name as much as it did Fisher's. Student's review
of the Methods, reproduced below, is interesting both for Student's
reaction to the book and his reaction to Fisher, although Student does
not comment on Fisher's treatment of Student and Student's distribution.
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