Pearson Correlation Coefficient Interpretation Let X=(1,2,3,...,20). Suppose that Y=(y_1,y_2,...,y_20) with y_i=x^2_i and Z=(z_1,z_2,...,z_20) with z_i=e^x_i. Pearson correlation coefficient is defined by formula ρ(X,Y)=(sum^20_i=1(x_i−bar x)(y_i−bar y))/(sqrt((sum20_i=1(x_i−bar x)2)(sum20_i=1(y_i−bary)^2)))

Melina Barber

Melina Barber

Answered question

2022-09-26

Pearson Correlation Coefficient Interpretation
Let X=(1,2,3,...,20). Suppose that Y = ( y 1 , y 2 , . . . , y 20 ) with y i = x i 2 and Z = ( z 1 , z 2 , . . . , z 20 ) with z i = e x i . Pearson correlation coefficient is defined by formula
ρ ( X , Y ) = i = 1 20 ( x i x ¯ ) ( y i y ¯ ) ( i = 1 20 ( x i x ¯ ) 2 ) ( i = 1 20 ( y i y ¯ ) 2 )
If ρ ( X , Y ) = 1, we can say that X and Y have a linear correlation. If 0.7 ρ ( X , Y ) < 1 then X and Y has a strong linear correlation, if 0.5 ρ ( X , Y ) < 0.7 then X and Y has a modest linear correlation, and if 0 ρ ( X , Y ) < 0.5 then X and Y has a weak linear correlation. Using this formula, we get ρ(X,Y)=0.9 and ρ(X,Z)=0.5. However, the relationship between X and Y is actually quadratic but they have the high correlation coefficient that indicate linear correlation.
So, my question is what is "linear correlation" actually between X and Y ? Since ρ(X,Z)=0.5 indicate the modest correlation coefficient, what is another intepretation of this value? What is the difference between ρ(X,Y) and ρ(X,Z), noting that Y and Z is not a linear function of X.

Answer & Explanation

Isaac Molina

Isaac Molina

Beginner2022-09-27Added 8 answers

A linear function is given as ax+b for some coefficients a and b. If you have y=ax+b, then you can obtain y from x via some mean shifting and scaling, which are quite simple operations. If you have two such functions, then whenever you compute a and b, you are done. They are completely correlated. If there is another function and you do linear regression and you found some a and b but the variance of the error of this regression is quite large then your correlation will degrade, it will seem that you need quite much than just mean shifting and scaling.
In your example exp(x) is a quite non-linear function especially compared to x 2 . You can see this via Tailor expansion; exp(x) has infintely many terms, indicating the strength of the non-linearity compared to x 2 which is a single term. Therefore the correlation is much lesss.

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