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This article is about the correlation coefficient between two variables. The term correlation
can also mean the cross-correlation of two function (mathematics)s or electron correlation in molecular systems.
In probability theory and statistics,
correlation, also called
correlation coefficient, indicates the strength and direction of a linear relationship between two
random variables. In general statistical usage,
correlation or co-relation refers to the departure of two variables from independence. In this broad sense there are several coefficients, measuring the degree of correlation, adapted to the nature of data.
A number of different coefficients are used for different situations. The best known is the Pearson product-moment correlation coefficient, which is obtained by dividing the covariance of the two variables by the product of their
standard deviations. Despite its name, it was first introduced by
Francis Galton.
Pearson's product-moment coefficient
Mathematical properties
The correlation coefficient ρ
X, Y between two
random variables X and
Y with
expected values μ
X and μ
Y and standard deviations σ
X and σ
Y is defined as:
\rho_{X,Y}={\mathrm{cov}(X,Y) \over \sigma_X \sigma_Y} ={E((X-\mu_X)(Y-\mu_Y)) \over \sigma_X\sigma_Y},
where
E is the expected value operator and cov means covariance.Since μ
X = E(
X),σ
X2 = E(
X2) − E2(
X) andlikewise for
Y, we may also write
\rho_{X,Y}=\frac{E(XY)-E(X)E(Y)}{\sqrt{E(X^2)-E^2(X)}~\sqrt{E(Y^2)-E^2(Y)-->.
The correlation is defined only if both of the standard deviations are finite and both of them are nonzero. It is a corollary of the
Cauchy-Schwarz inequality that the correlation cannot exceed 1 in absolute value.
The correlation is 1 in the case of an increasing linear relationship, −1 in the case of a decreasing linear relationship, and some value in between in all other cases, indicating the degree of linear dependence between the variables. The closer the coefficient is to either −1 or 1, the stronger the correlation between the variables.
If the variables are
statistical independence then the correlation is 0, but the converse is not true because the correlation coefficient detects only linear dependencies between two variables. Here is an example: Suppose the random variable
X is uniformly distributed on the interval from −1 to 1, and
Y =
X2. Then
Y is completely determined by
X, so that
X and
Y are dependent, but their correlation is zero; they are
uncorrelated. However, in the special case when
X and
Y are
bivariate Gaussian distribution, independence is equivalent to uncorrelatedness.
A correlation between two variables is diluted in the presence of measurement error around estimates of one or both variables, in which case
disattenuation provides a more accurate coefficient.
The sample correlation
If we have a series of
n measurements of
X and
Y written as
xi and
yi where
i = 1, 2, ...,
n, then the Pearson product-moment correlation coefficient can be used to estimate the correlation of
X and
Y . The Pearson coefficient isalso known as the "sample correlation coefficient". It is especially important if
X and
Y are both normal distribution. The Pearson correlation coefficient is then the best estimate of the correlation of
X and
Y . The Pearson correlation coefficient is written:
r_{xy}=\frac{\sum (x_i-\bar{x})(y_i-\bar{y})}{(n-1) s_x s_y},
where \bar{x} and \bar{y} are the sample
arithmetic means of
X and
Y ,
sx and
sy are the sample
standard deviations of
X and
Y and the sum is from
i = 1 to
n. As with the population correlation, we may rewrite this as
r_{xy}=\frac{\sum x_iy_i-n \bar{x} \bar{y-->{(n-1) s_x s_y}=\frac{n\sum x_iy_i-\sum x_i\sum y_i}{\sqrt{n\sum x_i^2-(\sum x_i)^2}~\sqrt{n\sum y_i^2-(\sum y_i)^2-->.
Again, as is true with the population correlation, the absolute value of the sample correlation must be less than or equal to 1. Though the above formula conveniently suggests a single-pass algorithm for calculating sample correlations, it is notorious for its numerical instability (see below for something more accurate).
The square of the sample correlation coefficient, which is also known as the
coefficient of determination, is the fraction of the variance in
yi that is accounted for by a linear fit of
xi to
yi . This is written
r_{xy}^2=1-\frac{s_{y|x}^2}{s_y^2},
where
sy|
x2 is the square of the error of a linear regression of
xi on
yi by the
equation y = a + bx:
s_{y|x}^2=\frac{1}{n-1}\sum_{i=1}^n (y_i-a-bx_i)^2,
and
sy2 is just the variance of
y:
s_y^2=\frac{1}{n-1}\sum_{i=1}^n (y_i-\bar{y})^2.
Note that since the sample correlation coefficient is symmetric in
xi and
yi , we will get the same value for a fit of
xi to
yi :
r_{xy}^2=1-\frac{s_{x|y}^2}{s_x^2}.
This equation also gives an intuitive idea of the correlation coefficient for higher
dimensions. Just as the above described sample correlation coefficient is the fraction of variance accounted for by the fit of a 1-dimensional Euclidean space to a set of 2-dimensional vectors (
xi ,
yi ), so we can define a correlation coefficient for a fit of an
m-dimensional linear submanifold to a set of
n-dimensional vectors. For example, if we fit a plane
z = a + bx + cy to a set of data (
xi ,
yi ,
zi ) then the correlation coefficient of
z to
x and
y is
r^2=1-\frac{\sigma_{z|xy}^2}{s_z^2}.
The distribution of the correlation coefficient has been examined by
R. A. Fisher{{Cite journal
| title = Frequency distribution of the values of the correlation coefficient in samples from an indefinitely large population
| journal = [Biometrika
| volume = 10
| pages = 507–521
| year = 1915
-->{{Cite journal| author = [R. A. Fisher
| title = On the probable error of a coefficient of correlation deduced from a small sample
| journal = [Metron
| year = 1921
-->and A. K. Gayen.{{Cite journal| author = A. K. Gayen
| title = The frequency distribution of the product moment correlation coefficent in random samples of any size draw from non-normal universes
| journal = [Biometrika
| year = 1951
| volume = 38
| pages = 219–247
-->
Geometric Interpretation of correlation
The correlation coefficient can also be viewed as the cosine of the
angle between the two Vector (spatial) of samples drawn from the two random variables.
Caution: This method only works with centered data, i.e., data which have been shifted by the sample mean so as to have an average of zero. Some practitioners prefer an uncentered (non-Pearson-compliant) correlation coefficient. See the example below for a comparison.
As an example, suppose five countries are found to have gross national products of 1, 2, 3, 5, and 8 billion dollars, respectively. Suppose these same five countries (in the same order) are found to have 11%, 12%, 13%, 15%, and 18% poverty. Then let
x and
y be ordered 5-element vectors containing the above data:
x = (1, 2, 3, 5, 8) and
y = (0.11, 0.12, 0.13, 0.15, 0.18).
By the usual procedure for finding the angle between two vectors (see dot product), the uncentered correlation coefficient is:
\cos \theta = \frac { \bold{x} \cdot \bold{y} } { \left\| \bold{x} \right\| \left\| \bold{y} \right\| } = \frac { 2.93 } { \sqrt { 103 } \sqrt { 0.0983 } } = 0.920814711.
Note that the above data were deliberately chosen to be perfectly correlated: y = 0.10 + 0.01 x. The Pearson correlation coefficient must therefore be exactly one. Centering the data (shifting
x by E(
x) = 3.8 and
y by E(
y) = 0.138) yields
x = (-2.8, -1.8, -0.8, 1.2, 4.2) and
y = (-0.028, -0.018, -0.008, 0.012, 0.042), from which
\cos \theta = \frac { \bold{x} \cdot \bold{y} } { \left\| \bold{x} \right\| \left\| \bold{y} \right\| } = \frac { 0.308 } { \sqrt { 30.8 } \sqrt { 0.00308 } } = 1,
as expected.
Interpretation of the size of a correlation
{|class="wikitable" align="right"|-! Correlation !! Negative !! Positive|-| Small || −0.29 to −0.10 || 0.10 to 0.29|-| Medium || −0.49 to −0.30 || 0.30 to 0.49|-| Large || −1.00 to −0.50 || 0.50 to 1.00|}Several authors have offered guidelines for the interpretation of a correlation coefficient. Cohen (1988),Cohen, J. (1988).
Statistical power analysis for the behavioral sciences (2nd ed.) Hillsdale, NJ: Lawrence Erlbaum Associates. ISBN 0-8058-0283-5. for example, has suggested the following interpretations for correlations in psychological research, in the table on the right.
As Cohen himself has observed, however, all such criteria are in some ways arbitrary and should not be observed too strictly. This is because the interpretation of a correlation coefficient depends on the context and purposes. A correlation of 0.9 may be very low if one is verifying a physical law using high-quality instruments, but may be regarded as very high in the social sciences where there may be a greater contribution from complicating factors.
Non-parametric correlation coefficients
Pearson's correlation coefficient is a
parametric statistics, and it may be less useful if the underlying assumption of normality is violated. non-parametric statistics correlation methods, such as
Chi-square test, Point-biserial correlation coefficient,
Spearman's rank correlation coefficient and
Kendall's tau may be useful when distributions are not normal; they are a little less powerful than parametric methods if the assumptions underlying the latter are met, but are less likely to give distorted results when the assumptions fail.
Other measures of dependence among random variables
To get a measure for more general dependencies in the data (also nonlinear) it is better to use the correlation ratio which is able to detect almost any functional dependency, or
mutual information/
total correlation which is capable of detecting even more general dependencies.
The
polychoric correlation is another correlation applied to ordinal data that aims to estimate the correlation between theorised latent variables.
Copulas and correlation
The information given by a correlation coefficient is not enough to define the dependence structure between random variables; to fully capture it we must consider a
copula (statistics) between them. The correlation coefficient completely defines the dependence structure only in very particular cases, for example when the cumulative distribution functions are the
multivariate normal distributions. In the case of elliptic distributions it characterizes the (hyper-)ellipses of equal density, however, it does not completely characterize the dependence structure (for example, the a multivariate t-distribution's degrees of freedom determine the level of tail dependence).
Correlation matrices
The correlation matrix of
n random variables
X1, ...,
Xn is the
n ×
n matrix whose
i,
j entry is corr(
Xi,
Xj). If the measures of correlation used are product-moment coefficients, the correlation matrix is the same as the covariance matrix of the standardized random variables
Xi /SD(
Xi) for
i = 1, ...,
n. Consequently it is necessarily a
positive-semidefinite matrix.
The correlation matrix is symmetric because the correlation between X_i and X_j is the same as the correlation between X_j and X_i.
Removing correlation
It is always possible to remove the correlation between zero-mean random variables with a linear transform, even if the relationship between the variables is nonlinear. Suppose a vector of
n random variables is sampled
m times. Let
X be a matrix where X_{i,j} is the
jth variable of sample
i. Let Z_{r,c} be an
r by
c matrix with every element 1. Then
D is the data transformed so every random variable has zero mean, and
T is the data transformed so all variables have zero mean, unit variance, and zero correlation with all other variables.
D = X -\frac{1}{m} Z_{m,m} X
T = D (D^T D)^{-\frac{1}{2-->
where an exponent of -1/2 represents the
matrix square root of the matrix inverse of a matrix. The covariance matrix of
T will be the identity matrix. If a new data sample
x is a row vector of
n elements, then the same transform can be applied to
x to get the transformed vectors
d and
t:
d = x - \frac{1}{m} Z_{1,m} X
t = d (D^T D)^{-\frac{1}{2-->.
Common misconceptions about correlation
Correlation and causality
The conventional dictum that "correlation does not imply causation" means that correlation cannot be validly used to infer a causal relationship between the variables. This dictum should not be taken to mean that correlations cannot indicate causal relations. However, the causes underlying the correlation, if any, may be indirect and unknown. Consequently, establishing a correlation between two variables is not a sufficient condition to establish a causal relationship (in either direction).
Here is a simple example: hot weather may cause both crime and ice-cream purchases. Therefore crime is correlated with ice-cream purchases. But crime does not cause ice-cream purchases and ice-cream purchases do not cause crime.
A correlation between age and height in children is fairly causally transparent, but a correlation between mood and health in people is less so. Does improved mood lead to improved health? Or does good health lead to good mood? Or does some other factor underlie both? Or is it pure coincidence? In other words, a correlation can be taken as evidence for a possible causal relationship, but cannot indicate what the causal relationship, if any, might be.
Correlation and linearity
While Pearson correlation indicates the strength of a linear relationship between two variables, its value alone may not be sufficient to evaluate this relationship, especially in the case where the assumption of normality is incorrect.
The image on the right shows
scatterplots of Anscombe's quartet, a set of four different pairs of variables created by
Francis Anscombe.Anscombe, Francis J. (1973) Graphs in statistical analysis.
American Statistician, 27, 17–21. The four y variables have the same mean (7.5), standard deviation (4.12), correlation (0.81) and regression line (y = 3 + 0.5x). However, as can be seen on the plots, the distribution of the variables is very different. The first one (top left) seems to be distributed normally, and corresponds to what one would expect when considering two variables correlated and following the assumption of normality. The second one (top right) is not distributed normally; while an obvious relationship between the two variables can be observed, it is not linear, and the Pearson correlation coefficient is not relevant. In the third case (bottom left), the linear relationship is perfect, except for one
outlier which exerts enough influence to lower the correlation coefficient from 1 to 0.81. Finally, the fourth example (bottom right) shows another example when one outlier is enough to produce a high correlation coefficient, even though the relationship between the two variables is not linear.
These examples indicate that the correlation coefficient, as a summary statistic, cannot replace the individual examination of the data.
Computing correlation accurately in a single pass
The following algorithm (in pseudocode) will estimate correlation with good numerical stability
sum_sq_x = 0
sum_sq_y = 0
sum_coproduct = 0
mean_x = x
mean_y = y
for i in 2 to N:
sweep = (i - 1.0) / i
delta_x = x
i - mean_x
delta_y = yi - mean_y
sum_sq_x += delta_x * delta_x * sweep
sum_sq_y += delta_y * delta_y * sweep
sum_coproduct += delta_x * delta_y * sweep
mean_x += delta_x / i
mean_y += delta_y / i
pop_sd_x = sqrt( sum_sq_x / N )
pop_sd_y = sqrt( sum_sq_y / N )
cov_x_y = sum_coproduct / N
correlation = cov_x_y / (pop_sd_x * pop_sd_y)
For an enlightening experiment, check the correlation of {900,000,000 + i for i=1...100} with {900,000,000 - i for i=1...100}, perhaps with a few values modified. Poor algorithms will fail.
See also
Notes and references
Further reading
- Cohen, J., Cohen P., West, S.G., & Aiken, L.S. (2003). Applied multiple regression/correlation analysis for the behavioral sciences. (3rd ed.) Hillsdale, NJ: Lawrence Erlbaum Associates.
External links
- Understanding Correlation - Introductory material by a U. of Hawaii Prof.
- Statsoft Electronic Textbook
- Pearson's Correlation Coefficient - How to calculate it quickly
- Learning by Simulations - The distribution of the correlation coefficient
- Correlation measures the strength of a linear relationship between two variables.
This article is about the correlation coefficient between two variables. The term correlation
can also mean the cross-correlation of two function (mathematics)s or electron correlation in molecular systems.
In probability theory and statistics,
correlation, also called
correlation coefficient, indicates the strength and direction of a linear relationship between two
random variables. In general statistical usage,
correlation or co-relation refers to the departure of two variables from independence. In this broad sense there are several coefficients, measuring the degree of correlation, adapted to the nature of data.
A number of different coefficients are used for different situations. The best known is the
Pearson product-moment correlation coefficient, which is obtained by dividing the covariance of the two variables by the product of their
standard deviations. Despite its name, it was first introduced by
Francis Galton.
Pearson's product-moment coefficient
Mathematical properties
The correlation coefficient ρ
X, Y between two random variables
X and
Y with expected values μ
X and μ
Y and standard deviations σ
X and σ
Y is defined as:
\rho_{X,Y}={\mathrm{cov}(X,Y) \over \sigma_X \sigma_Y} ={E((X-\mu_X)(Y-\mu_Y)) \over \sigma_X\sigma_Y},
where
E is the
expected value operator and cov means covariance.Since μ
X = E(
X),σ
X2 = E(
X2) − E2(
X) andlikewise for
Y, we may also write
\rho_{X,Y}=\frac{E(XY)-E(X)E(Y)}{\sqrt{E(X^2)-E^2(X)}~\sqrt{E(Y^2)-E^2(Y)-->.
The correlation is defined only if both of the standard deviations are finite and both of them are nonzero. It is a corollary of the Cauchy-Schwarz inequality that the correlation cannot exceed 1 in
absolute value.
The correlation is 1 in the case of an increasing linear relationship, −1 in the case of a decreasing linear relationship, and some value in between in all other cases, indicating the degree of linear dependence between the variables. The closer the coefficient is to either −1 or 1, the stronger the correlation between the variables.
If the variables are
statistical independence then the correlation is 0, but the converse is not true because the correlation coefficient detects only linear dependencies between two variables. Here is an example: Suppose the random variable
X is uniformly distributed on the interval from −1 to 1, and
Y =
X2. Then
Y is completely determined by
X, so that
X and
Y are dependent, but their correlation is zero; they are uncorrelated. However, in the special case when
X and
Y are
bivariate Gaussian distribution, independence is equivalent to uncorrelatedness.
A correlation between two variables is diluted in the presence of measurement error around estimates of one or both variables, in which case disattenuation provides a more accurate coefficient.
The sample correlation
If we have a series of
n measurements of
X and
Y written as
xi and
yi where
i = 1, 2, ...,
n, then the Pearson product-moment correlation coefficient can be used to estimate the correlation of
X and
Y . The Pearson coefficient isalso known as the "sample correlation coefficient". It is especially important if
X and
Y are both normal distribution. The Pearson correlation coefficient is then the best estimate of the correlation of
X and
Y . The Pearson correlation coefficient is written:
r_{xy}=\frac{\sum (x_i-\bar{x})(y_i-\bar{y})}{(n-1) s_x s_y},
where \bar{x} and \bar{y} are the sample
arithmetic means of
X and
Y ,
sx and
sy are the sample
standard deviations of
X and
Y and the sum is from
i = 1 to
n. As with the population correlation, we may rewrite this as
r_{xy}=\frac{\sum x_iy_i-n \bar{x} \bar{y-->{(n-1) s_x s_y}=\frac{n\sum x_iy_i-\sum x_i\sum y_i}{\sqrt{n\sum x_i^2-(\sum x_i)^2}~\sqrt{n\sum y_i^2-(\sum y_i)^2-->.
Again, as is true with the population correlation, the absolute value of the sample correlation must be less than or equal to 1. Though the above formula conveniently suggests a single-pass algorithm for calculating sample correlations, it is notorious for its numerical instability (see below for something more accurate).
The square of the sample correlation coefficient, which is also known as the
coefficient of determination, is the fraction of the variance in
yi that is accounted for by a linear fit of
xi to
yi . This is written
r_{xy}^2=1-\frac{s_{y|x}^2}{s_y^2},
where
sy|
x2 is the square of the error of a
linear regression of
xi on
yi by the equation
y = a + bx:
s_{y|x}^2=\frac{1}{n-1}\sum_{i=1}^n (y_i-a-bx_i)^2,
and
sy2 is just the variance of
y:
s_y^2=\frac{1}{n-1}\sum_{i=1}^n (y_i-\bar{y})^2.
Note that since the sample correlation coefficient is symmetric in
xi and
yi , we will get the same value for a fit of
xi to
yi :
r_{xy}^2=1-\frac{s_{x|y}^2}{s_x^2}.
This equation also gives an intuitive idea of the correlation coefficient for higher
dimensions. Just as the above described sample correlation coefficient is the fraction of variance accounted for by the fit of a 1-dimensional
Euclidean space to a set of 2-dimensional vectors (
xi ,
yi ), so we can define a correlation coefficient for a fit of an
m-dimensional linear submanifold to a set of
n-dimensional vectors. For example, if we fit a plane
z = a + bx + cy to a set of data (
xi ,
yi ,
zi ) then the correlation coefficient of
z to
x and
y is
r^2=1-\frac{\sigma_{z|xy}^2}{s_z^2}.
The distribution of the correlation coefficient has been examined by R. A. Fisher{{Cite journal
| title = Frequency distribution of the values of the correlation coefficient in samples from an indefinitely large population
| journal = [Biometrika
| volume = 10
| pages = 507–521
| year = 1915
-->{{Cite journal| author = [R. A. Fisher
| title = On the probable error of a coefficient of correlation deduced from a small sample
| journal = [Metron
| year = 1921
-->and A. K. Gayen.{{Cite journal| author = A. K. Gayen
| title = The frequency distribution of the product moment correlation coefficent in random samples of any size draw from non-normal universes
| journal = [Biometrika
| year = 1951
| volume = 38
| pages = 219–247
-->
Geometric Interpretation of correlation
The correlation coefficient can also be viewed as the cosine of the angle between the two
Vector (spatial) of samples drawn from the two random variables.
Caution: This method only works with centered data, i.e., data which have been shifted by the sample mean so as to have an average of zero. Some practitioners prefer an uncentered (non-Pearson-compliant) correlation coefficient. See the example below for a comparison.
As an example, suppose five countries are found to have gross national products of 1, 2, 3, 5, and 8 billion dollars, respectively. Suppose these same five countries (in the same order) are found to have 11%, 12%, 13%, 15%, and 18% poverty. Then let
x and
y be ordered 5-element vectors containing the above data:
x = (1, 2, 3, 5, 8) and
y = (0.11, 0.12, 0.13, 0.15, 0.18).
By the usual procedure for finding the angle between two vectors (see
dot product), the uncentered correlation coefficient is:
\cos \theta = \frac { \bold{x} \cdot \bold{y} } { \left\| \bold{x} \right\| \left\| \bold{y} \right\| } = \frac { 2.93 } { \sqrt { 103 } \sqrt { 0.0983 } } = 0.920814711.
Note that the above data were deliberately chosen to be perfectly correlated: y = 0.10 + 0.01 x. The Pearson correlation coefficient must therefore be exactly one. Centering the data (shifting
x by E(
x) = 3.8 and
y by E(
y) = 0.138) yields
x = (-2.8, -1.8, -0.8, 1.2, 4.2) and
y = (-0.028, -0.018, -0.008, 0.012, 0.042), from which
\cos \theta = \frac { \bold{x} \cdot \bold{y} } { \left\| \bold{x} \right\| \left\| \bold{y} \right\| } = \frac { 0.308 } { \sqrt { 30.8 } \sqrt { 0.00308 } } = 1,
as expected.
Interpretation of the size of a correlation
{|class="wikitable" align="right"|-! Correlation !! Negative !! Positive|-| Small || −0.29 to −0.10 || 0.10 to 0.29|-| Medium || −0.49 to −0.30 || 0.30 to 0.49|-| Large || −1.00 to −0.50 || 0.50 to 1.00|}Several authors have offered guidelines for the interpretation of a correlation coefficient. Cohen (1988),Cohen, J. (1988).
Statistical power analysis for the behavioral sciences (2nd ed.) Hillsdale, NJ: Lawrence Erlbaum Associates. ISBN 0-8058-0283-5. for example, has suggested the following interpretations for correlations in psychological research, in the table on the right.
As Cohen himself has observed, however, all such criteria are in some ways arbitrary and should not be observed too strictly. This is because the interpretation of a correlation coefficient depends on the context and purposes. A correlation of 0.9 may be very low if one is verifying a physical law using high-quality instruments, but may be regarded as very high in the social sciences where there may be a greater contribution from complicating factors.
Non-parametric correlation coefficients
Pearson's correlation coefficient is a parametric statistics, and it may be less useful if the underlying assumption of normality is violated. non-parametric statistics correlation methods, such as
Chi-square test,
Point-biserial correlation coefficient, Spearman's rank correlation coefficient and Kendall's tau may be useful when distributions are not normal; they are a little less powerful than parametric methods if the assumptions underlying the latter are met, but are less likely to give distorted results when the assumptions fail.
Other measures of dependence among random variables
To get a measure for more general dependencies in the data (also nonlinear) it is better to use the
correlation ratio which is able to detect almost any functional dependency, or
mutual information/
total correlation which is capable of detecting even more general dependencies.
The
polychoric correlation is another correlation applied to ordinal data that aims to estimate the correlation between theorised latent variables.
Copulas and correlation
The information given by a correlation coefficient is not enough to define the dependence structure between random variables; to fully capture it we must consider a
copula (statistics) between them. The correlation coefficient completely defines the dependence structure only in very particular cases, for example when the
cumulative distribution functions are the multivariate normal distributions. In the case of elliptic distributions it characterizes the (hyper-)ellipses of equal density, however, it does not completely characterize the dependence structure (for example, the a multivariate t-distribution's degrees of freedom determine the level of tail dependence).
Correlation matrices
The correlation matrix of
n random variables
X1, ...,
Xn is the
n ×
n matrix whose
i,
j entry is corr(
Xi,
Xj). If the measures of correlation used are product-moment coefficients, the correlation matrix is the same as the
covariance matrix of the standardized random variables
Xi /SD(
Xi) for
i = 1, ...,
n. Consequently it is necessarily a
positive-semidefinite matrix.
The correlation matrix is symmetric because the correlation between X_i and X_j is the same as the correlation between X_j and X_i.
Removing correlation
It is always possible to remove the correlation between zero-mean random variables with a linear transform, even if the relationship between the variables is nonlinear. Suppose a vector of
n random variables is sampled
m times. Let
X be a matrix where X_{i,j} is the
jth variable of sample
i. Let Z_{r,c} be an
r by
c matrix with every element 1. Then
D is the data transformed so every random variable has zero mean, and
T is the data transformed so all variables have zero mean, unit variance, and zero correlation with all other variables.
D = X -\frac{1}{m} Z_{m,m} X
T = D (D^T D)^{-\frac{1}{2-->
where an exponent of -1/2 represents the
matrix square root of the
matrix inverse of a matrix. The covariance matrix of
T will be the identity matrix. If a new data sample
x is a row vector of
n elements, then the same transform can be applied to
x to get the transformed vectors
d and
t:
d = x - \frac{1}{m} Z_{1,m} X
t = d (D^T D)^{-\frac{1}{2-->.
Common misconceptions about correlation
Correlation and causality
The conventional dictum that "
correlation does not imply causation" means that correlation cannot be validly used to infer a causal relationship between the variables. This dictum should not be taken to mean that correlations cannot indicate causal relations. However, the causes underlying the correlation, if any, may be indirect and unknown. Consequently, establishing a correlation between two variables is not a sufficient condition to establish a causal relationship (in either direction).
Here is a simple example: hot weather may cause both crime and ice-cream purchases. Therefore crime is correlated with ice-cream purchases. But crime does not cause ice-cream purchases and ice-cream purchases do not cause crime.
A correlation between age and height in children is fairly causally transparent, but a correlation between mood and health in people is less so. Does improved mood lead to improved health? Or does good health lead to good mood? Or does some other factor underlie both? Or is it pure coincidence? In other words, a correlation can be taken as evidence for a possible causal relationship, but cannot indicate what the causal relationship, if any, might be.
Correlation and linearity
While Pearson correlation indicates the strength of a linear relationship between two variables, its value alone may not be sufficient to evaluate this relationship, especially in the case where the assumption of normality is incorrect.
The image on the right shows
scatterplots of
Anscombe's quartet, a set of four different pairs of variables created by Francis Anscombe.Anscombe, Francis J. (1973) Graphs in statistical analysis.
American Statistician, 27, 17–21. The four y variables have the same mean (7.5), standard deviation (4.12), correlation (0.81) and regression line (y = 3 + 0.5x). However, as can be seen on the plots, the distribution of the variables is very different. The first one (top left) seems to be distributed normally, and corresponds to what one would expect when considering two variables correlated and following the assumption of normality. The second one (top right) is not distributed normally; while an obvious relationship between the two variables can be observed, it is not linear, and the Pearson correlation coefficient is not relevant. In the third case (bottom left), the linear relationship is perfect, except for one
outlier which exerts enough influence to lower the correlation coefficient from 1 to 0.81. Finally, the fourth example (bottom right) shows another example when one outlier is enough to produce a high correlation coefficient, even though the relationship between the two variables is not linear.
These examples indicate that the correlation coefficient, as a summary statistic, cannot replace the individual examination of the data.
Computing correlation accurately in a single pass
The following algorithm (in
pseudocode) will estimate correlation with good numerical stability
sum_sq_x = 0
sum_sq_y = 0
sum_coproduct = 0
mean_x = x
mean_y = y
for i in 2 to N:
sweep = (i - 1.0) / i
delta_x = x
i - mean_x
delta_y = y
i - mean_y
sum_sq_x += delta_x * delta_x * sweep
sum_sq_y += delta_y * delta_y * sweep
sum_coproduct += delta_x * delta_y * sweep
mean_x += delta_x / i
mean_y += delta_y / i
pop_sd_x = sqrt( sum_sq_x / N )
pop_sd_y = sqrt( sum_sq_y / N )
cov_x_y = sum_coproduct / N
correlation = cov_x_y / (pop_sd_x * pop_sd_y)
For an enlightening experiment, check the correlation of {900,000,000 + i for i=1...100} with {900,000,000 - i for i=1...100}, perhaps with a few values modified. Poor algorithms will fail.
See also
Notes and references
Further reading
- Cohen, J., Cohen P., West, S.G., & Aiken, L.S. (2003). Applied multiple regression/correlation analysis for the behavioral sciences. (3rd ed.) Hillsdale, NJ: Lawrence Erlbaum Associates.
External links
- Understanding Correlation - Introductory material by a U. of Hawaii Prof.
- Statsoft Electronic Textbook
- Pearson's Correlation Coefficient - How to calculate it quickly
- Learning by Simulations - The distribution of the correlation coefficient
- Correlation measures the strength of a linear relationship between two variables.
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