1. Pearson r correlation Pearson r correlation is widely used in statistics to measure the degree of the relationship between linear related variables. For example, in the stock market, if we want to measure how two commodities are related to each other, Pearson r correlation is used to measure the degree of relationship between the two commodities. The following formula is used to calculate the Pearson r correlation: Where: r = Pearson r correlation coefficient N = number of value in each data set xy = sum of the products of paired scores x = sum of x scores y = sum of y scores x2= sum of squared x scores y2= sum of squared y scores Questions a Pearson correlation answers
Is there a statistically significant relationship
between age, as measured in years, and height, measured in inches? Is there a relationship between temperature, measure in degree Fahrenheit, and ice cream sales, measured by income? Is there a relationship among job satisfaction, as measured by the JSS, and income, measured in dollars? Sample question: Find the value of the correlation coefficient from the following table:
GLUCOSE SUBJECT AGE X LEVEL Y
1 43 99
2 21 65
3 25 79
4 42 75
5 57 87
6 59 81 Step 1:Make a chart. Use the given data, and add three more columns: xy, x2, and y2.
GLUCOSE SUBJECT AGE X XY X2 Y2 LEVEL Y 1 43 99 2 21 65 3 25 79 4 42 75 5 57 87 6 59 81 Step 2: Multiply x and y together to fill the xy column. For example, row 1 would be 43 99 = 4,257.
GLUCOSE SUBJECT AGE X XY X2 Y2 LEVEL Y 1 43 99 4257 2 21 65 1365 3 25 79 1975 4 42 75 3150 5 57 87 4959 6 59 81 4779 Step 3: Take the square of the numbers in the x column, and put the result in the x2 column.
GLUCOSE SUBJECT AGE X XY X2 Y2 LEVEL Y 1 43 99 4257 1849 2 21 65 1365 441 3 25 79 1975 625 4 42 75 3150 1764 5 57 87 4959 3249 6 59 81 4779 3481 Step 4: Take the square of the numbers in the y column, and put the result in the y2 column.
GLUCOSE SUBJECT AGE X XY X2 Y2 LEVEL Y 1 43 99 4257 1849 9801 2 21 65 1365 441 4225 3 25 79 1975 625 6241 4 42 75 3150 1764 5625 5 57 87 4959 3249 7569 6 59 81 4779 3481 6561 Step 5: Add up all of the numbers in the columns and put the result at the bottom.2 column. The Greek letter sigma () is a short way of saying sum of.
x = 247 0.529809 y = 486 xy = 20,485 x2 = 11,409 y2 = 40,022 n is the sample size, in our case = 6 The correlation coefficient = 6(20,485) (247 486) / [[[6(11,409) (2472)] [6(40,022) 4862]]] =0.5298 The range of the correlation coefficient is from -1 to 1. Our result is 0.5298 or 52.98%, which means the variables have a moderate positive correlation. How to test correlation coefficients
Sample problem: test the significance of the
correlation coefficient r = 0.565 using the critical values for PPMC Table. Test at = 0.01 for a sample size of 9. Step 1: Subtract two from the sample size to get df, degrees of freedom. 92=7 Step 2: Look the values up in the PPMC Table. With df = 7 and = 0.01, the table value is = 0.798 Visit this site for the table: http://www.statisticshowto.com/tables/ppmc- critical-values/ Pearson Product-Moment Correlation (PPMC) Coefficient Table of Critical Values Level of significance for two-tailed test f=n2 n = # of pairs of data .10 .05 .02 .01
1 .988 .997 .9995 .9999
2 .900 .950 .980 .990 3 .805 .878 .934 .959 4 .729 .811 .882 .917 5 .669 .754 .833 .874 6 .622 .707 .789 .834 7 .582 .666 .750 .798 8 .549 .632 .716 .765 9 .521 .602 .685 .735 10 .497 .576 .658 .708 Step 3: Draw a graph, so you can more easily see the relationship.
r = 0.565 does not fall into the reject region (above
0.798), so there isnt enough evidence to state a strong linear relationship exists in the data. Meaning of the Linear Correlation Coefficient.
Pearsons Correlation Coefficient is a linear
correlation coefficien that returns a value of between -1 and +1. A -1 means there is a strong negative correlation and +1 means that there is a strong positive correlation. A 0 means that there is no correlation (this is also called zero order correlation). This can initially be a little hard to wrap your head around. The Political Science Department at Quinnipiac University posted this useful list of the meaning of Pearsons Correlation coefficients. They note that these are crude estimates for interpreting strengths of correlations using Pearsons Correlation: r value = Very strong positive +.70 or higher relationship +.40 to +.69 Strong positive relationship
+.30 to +.39 Moderate positive relationship
+.20 to +.29 weak positive relationship
+.01 to +.19 No or negligible relationship No relationship [zero order 0 correlation] -.01 to -.19 No or negligible relationship -.20 to -.29 weak negative relationship Moderate negative -.30 to -.39 relationship -.40 to -.69 Strong negative relationship Very strong negative -.70 or higher relationship It may be helpful to see graphically what these correlations look like:
Graphs showing a correlation of -1 (a negative correlation), 0
and +1 (a positive correlation) The images show that a strong negative correlation means that the graph has a downward slope from left to right: as the x-values increase, the y-values get smaller. A strong positive correlation means that the graph has an upward slope from left to right: as the x-values increase, the y-values get larger. Cramers V Correlation
Cramers V Correlation is similar to the
Pearson Correlation coefficient. While the Pearson correlation is used to test the strength of linear relationships, Cramers V is used to calculate correlation in tables with more than 2 x 2 columns and rows. Cramers V correlation varies between 0 and 1. A value close to 0 means that there is very little association between the variables. A Cramers V of close to 1 indicates a very strong association. Cramers V .25 or higher Very strong relationship .15 to .25 Strong relationship .11 to .15 Moderate relationship .06 to .10 weak relationship No or negligible .01 to .05 relationship Kendall rank correlation Kendall rank correlation is a non-parametric test that measures the strength of dependence between two variables. If we consider two samples, a and b, where each sample size is n, we know that the total number of pairings with a b is n(n-1)/2. The following formula is used to calculate the value of Kendall rank correlation:
Where: Nc= number of concordant Nd= Number of discordant Kendalls Tau is a non-parametric measure of relationships between columns of ranked data. The Tau correlation coefficient returns a value of 0 to 1, where:
0 is no relationship, 1 is a perfect relationship. A quirk of this test is that it can also produce negative values (i.e. from -1 to 0). Unlike a linear graph, a negative relationship doesnt mean much with ranked columns (other than you perhaps switched the columns around), so just remove the negative sign when youre interpreting Tau. Several versions of Tau exist. Tau-A and Tau-B are usually used for square tables (with equal columns and rows). Tau-B will adjust for tied ranks. Tau-C is usually used for rectangular tables. For square tables, Tau-B and Tau-C are essentially the same. Most statistical packages have Tau-B built in, but you can use the following formula to calculate it by hand: Kendalls Tau = (Nc Nd /Nc + Nd) Where Nc is the number of concordant and Nd is the number of discordant pairs. Example Problem
Sample Question: Two
interviewers ranked 12 candidates (A through L) for a position. The results from most preferred to least preferred are: Interviewer 1: ABCDEFGHIJKL. Interviewer 2: ABDCFEHGJILK.
Calculate the Kendall Tau
correlation. Step 1: Make a table of rankings. The first column, Candidate is optional and for reference only. The rankings for Interviewer 1 should be in ascending order (from least to greatest). Step 2: Count the number of concordant pairs, using the second column. Concordant pairs are how many larger ranks are below a certain rank. For example, the first rank in the second interviewers column is a 1, so all 11 ranks below it are larger. However, going down the list to the third row (a rank of 4), the rank immediately below (3) is smaller, so it doesnt count for a concordant pair. When all concordant pairs have been counted, it looks like this: Step 3: Count the number of discordant pairs and insert them into the next column. The number of discordant pairs is similar to Step 2, only youre looking for smaller ranks, not larger ones. Step 4: Sum the values in the two columns: Step 5: Insert the totals into the formula:
Kendalls Tau = (C D / C + D) = (61 5) / (61 + 5) = 56 / 66 = . 85. The Tau coefficient is .85, suggesting a strong relationship between the rankings. Perfect Correlation Counting how many values are below the second column seems very odd when you first do it. But it does work. Just as a thought experiment, heres what the spreadsheet looks like if both interviewers were in perfect agreement:
And, inserting the totals into the formula we get:
Tau = (66 0) / (66 + 0) = 1, which is (as we expect) perfect agreement. Spearman rank correlation
The Spearman rank correlation coefficient, rs, is
the nonparametric version of the Pearson correlation coefficient. Your data must be ordinal, interval or ratio. Spearmans returns a value from -1 to 1, where: +1 = a perfect positive correlation between ranks -1 = a perfect negative correlation between ranks 0 = no correlation between ranks. Contents: Tied ranks example. What to do with tied ranks. Spearman Rank Correlation: Worked Example (No Tied Ranks)
The formula for the Spearman rank
correlation coefficient when there are no tied ranks is: Sample Question:
The scores for nine students in physics
and math are as follows: Physics: 35, 23, 47, 17, 10, 43, 9, 6, 28 Mathematics: 30, 33, 45, 23, 8, 49, 12, 4, 31 Compute the students ranks in the two subjects and compute the Spearman rank correlation. Step 1: Find the ranks for each individual subject. Order the scores from greatest to smallest; assign the rank 1 to the highest score, 2 to the next highest and so on: Step 2: Add a third column, d, to your data. The d is the difference between ranks. For example, the first students physics rank is 3 and math rank is 5, so the difference is 3 points. In a fourth column, square your d values. Step 4: Sum (add up) all of your d-squared values. 4 + 4 + 1 + 0 + 1 + 1 + 1 + 0 + 0 = 12. Youll need this for the formula (the d2 is just the sum of d-squared values). Step 5: Insert the values into the formula. These ranks are not tied, so use the first formula:
= 1 (6*12)/(9(81-1)) = 1 72/720 = 1-0.1 = 0.9 The Spearman Rank Correlation for this set of data is 0.9 Spearman Rank Correlation: Worked Example (Tied Ranks)
Tied ranks are where two items in a
column have the same rank. A couple of different formulas exist for dealing with tied ranks. Perhaps the easiest way is to use the mean of the tied ranks. Lets say two items in the above example tied for ranks 5 and 6. You would assign each data point a mean rank of 5.5: Use the same formula, this time inserting the d-squared value for the tied ranks (14.5 from the new data):
