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Pearson's Correlation Coefficient
is one in a series of tutorials using examples from WINKS SDA.
the strength of the linear relationship between two variables.
variables (often called X and Y) are interval/ratio and approximately
normally distributed, and their joint distribution is bivariate normal.
Pearson's Correlation Coefficient is usually signified by r (rho),
and can take on the values from -1.0 to 1.0. Where -1.0 is a perfect
negative (inverse) correlation, 0.0 is no correlation, and 1.0 is a perfect
R2 (called the coefficient of determination or r squared) can be
interpreted as the proportion of variance in Y that is contained in X.
statistical significance of r is tested using a t-test. The
hypotheses for this test are:
H0: rho = 0
Ha: rho <> 0
A low p-value for this test
(less than 0.05 for example) means that there is evidence to reject the null
hypothesis in favor of the alternative hypothesis, or that there is a
statistically significant relationship between the two variables.
Note: This test is
equivalent to the test of no slope in the simple linear regression
Pearson's correlation coefficient is found in the following locations:
1. Regression and
Correlation - The Correlation procedure produces both Pearson and Spearman
Correlation coefficients. The t-test for statistical significance of r is
calculated. R2 is also reported.
2. Regression and
Correlation - The Simple linear regression reports the Pearson correlation
coefficient and the t-test. R2 is also reported.
3. Regression and
Correlation - The Correlation Matrix procedure produces a matrix of
correlations for a number of pairs of variables at a time, and includes the
p-value for the test or significance of r.
Graphs: An important
part of interpreting r is to observe a scatterplot of the data. Scatterplots
are available from the Graphs option, as a part of Simple Linear Regression
and in the Graphical Correlation Matrix option in Regression and
Example: Use the
Correlation procedure to calculate r for the two variables HP
(horsepower) and WEIGHT in the WINKS "CAR" database. The results from WINKS (in part) are:
: HP and WEIGHT Number of cases used: 38 Pearson's r (Correlations
Coefficient) = 0.9172 R-Square = 0.8413 Test of hypothesis to determine
significance of relationship:
= 0 or H(null): r = 0 (Pearson's)
t = 13.81425
with 36 d.f. p < 0.001
(A low p-value
implies that the slope does not = 0.) Spearman's Rank Correlation
Coefficient = 0.9071 (Spearman's) t = 12.93361 with 36 d.f. p < 0.001.
A scatterplot of this data shows the positive correlation -- cars with
higher horsepower tend to weigh more:
An example of writing up these results:
Narrative: "An evaluation was made of the linear relationship
between horsepower and vehicle weight using Pearson's correlation."
"An analysis using Pearson's correlation coefficient indicates a
statistically significant linear relationship between horsepower and vehicle
weight r(36)=0.92, p<0.001. For these data, the mean (SD) for horsepower is
101.7(26.4) and for weight 2.86 (0.71)."
Warning: There is a
temptation to infer cause and effect when observing a correlation. However,
the ability to assign causality depends on the creation of an experiment
specifically designed to provide this kind of inference.
Spearman's Correlation Coefficient is the non-parametric counterpart to r.
See also simple linear regression, multiple regression, and polynomial
Exercise - Correlation
At the beginning of an
introductory engineering course, 10 students were given a pre-test to
determine their initial mathematical ability. The following table lists the
student's pre-test score and final grade in the class:
1. Calculate Pearson's
Correlation Coefficient (r) on this data.
2. What statistical test is
used to determine if this value of r is statistically significant?
3. Is the correlation seen
in this data statistically significant. Why?
4. Display a scatterplot of
the data. Does the data appear linearly correlated. Do there seem to be any
5. Suppose an 11th student
were added to the data, with a pre-test score of 40 and a Course Grade of
70. How would this effect r?
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