  In this paper, we consider the problem of constructing confidence interval
for the correlation coefficient in a bivariate normal distribution. For this
problem, we found fifteen approaches in literatures. Also, we have proposed a
generalized confidence interval and a parametric bootstrap confidence interval.
The coverage probabilities and expected lengths of these seventeen approaches
are evaluated and compared via simulation study. In addition, robustness of the
methods is considered in the comparisons by the non-normal distributions. Two
real examples are given to illustrate the approaches.
