1 Define the (Spearman) rank correlation matrix RS n as in XXXXXXXXXXShow that if F has a multivariate normal distribution with correlation matrix R = ³ ρjl´ j,l=1,...,p , then RS n p→ RS, where ρ S...

1 Define the (Spearman) rank correlation matrix RS n as in (8.63). Show that if F has a multivariate normal distribution with correlation matrix R = ³ ρjl´ j,l=1,...,p , then RS n p→ RS, where ρ S jl = 6 π sin−1 ¡ 1 2 ρjl¢ .