Following White's approach of robust multiple linear regression, we give asymptotic confidence intervals for the multiple correlation coefficient R2 under minimal moment conditions. We also give the asymptotic joint distribution of the empirical estimators of the individual R2's. Through different sets of simulations, we show that the procedure is indeed robust (contrary to the procedure involving the near exact distribution of the empirical estimator of R2 is the multivariate Gaussian case) and can be also applied to count linear regression.

翻译：遵循White稳健多元线性回归方法，我们在最小矩条件下给出了多元相关系数R2的渐近置信区间。同时还给出了各R2估计量的渐近联合分布。通过多组模拟实验表明，该过程确实具有稳健性（与涉及多元高斯情形下R2经验估计量近似精确分布的方法相反），且可适用于计数线性回归。