Confidence Intervals on Correlation Coefficient in Bivariate Normal Distribution

In this paper, we study the confidence intervals of correlation coefficient in a bivariate normal distribution. We find three confidence intervals for the correlation coefficient in a bivariate normal distribution. One is the result of using central limit theorem(CLT), another is that of variance stabilization(VS), and the other is that of Wald type. And we introduce Fisher s confidence interval for the correlation coefficient. Simulation results show that the confidence interval obtained by VS is moderate of four confidence intervals.