My question is similar to Formula for 95% confidence interval for $R^2$ (I indeed want to corelate predicted with true values to obtain $R^2$).
The problem is their distribution is not normal. I wanted to use Cohen et al. (2003) approach. However I dig through Correlations redux Olkin and Finn (1995) and The mean and second moment coefficient, in samples from a normal population Wishart (1931), from which the formula originates. Wishart states explicitely:
[...] althought the utility of this quantity, for a distribution which is far from normal, is not so great as would at first sight appear.
Is there known a formula for such CI, or do I have to resort to bootstrap-like approach?