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Correlation Slide 1 of 38
CorrelationEdpsy 580
Carolyn J. AndersonDepartment of Educational Psychology
I L L I N O I SUNIVERSITY OF ILLINOIS AT URBRANA-CHAMPAIGN
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 2 of 38
Overview: Correlation & Regression
■ Pearson correlation coefficient
■ Simple Linear Regression.
◆ What and why?
◆ How (interpretation, estimation & diagnostics).
◆ Statistical Inference.
◆ Comments regarding interpretation.
■ Bi-variate regression
■ Multiple regression
■ General Linear Model
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 3 of 38
Outline: Pearson Correlation Coefficient
■ Definition & Properties.
■ Statistical Inference
◆ t-test that correlation equals 0.
◆ Fisher’s Z-Transformation.
◆ Confidence intervals for ρ.
◆ Test of Ho : ρ = K.
◆ Test of Ho : ρ1 = ρ2 (2 independent populations).
● Outline: Pearson Correlation
Coefficient
Definition & Properties
● Correlation: Definition &
Properties
● Scatter Diagram & Summary
Statistics● Definition: Correlation
coefficient
● How r Works
● Examples of Different r’s
● Examples of Different r’s
● Non-Linear Relationships
● Properties: Correlation
Coefficient● Properties: Correlation
Coefficient
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 4 of 38
Correlation: Definition & Properties
■ “Pearson Product Moment Correlation”
■ Two numerical variables measured on same individual,
(Xi, Yi) for i = 1, . . . , n. e.g.,
◆ Height and weight.
◆ Math and science scores.
◆ Salary and merit.
◆ High school GPA and college GPA.
◆ Cost of wine and annual rainfall.
◆ Conservative Party donors and people who buy gardenbulbs by mail.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
● Correlation: Definition &
Properties
● Scatter Diagram & Summary
Statistics● Definition: Correlation
coefficient
● How r Works
● Examples of Different r’s
● Examples of Different r’s
● Non-Linear Relationships
● Properties: Correlation
Coefficient● Properties: Correlation
Coefficient
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 5 of 38
Scatter Diagram & Summary Statistics
● Outline: Pearson Correlation
Coefficient
Definition & Properties
● Correlation: Definition &
Properties
● Scatter Diagram & Summary
Statistics● Definition: Correlation
coefficient
● How r Works
● Examples of Different r’s
● Examples of Different r’s
● Non-Linear Relationships
● Properties: Correlation
Coefficient● Properties: Correlation
Coefficient
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 6 of 38
Definition: Correlation coefficient
■ ρ(Greek “rho”) = population correlation.
■ r = sample correlation.
■ Formal definition
r =cov(X, Y )
sxsy=
sxy
sxsy
=1
n−1
∑ni=1(Xi − X)(Yi − Y )
√
1n−1
∑ni=1(Xi − X)2
√
1n−1
∑ni=1(Yi − Y )2
=
∑ni=1(Xi − X)(Yi − Y )
√
∑ni=1(Xi − X)2
√
∑ni=1(Yi − Y )2
■ It measures the extent to which two random variables arelinearly related.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
● Correlation: Definition &
Properties
● Scatter Diagram & Summary
Statistics● Definition: Correlation
coefficient
● How r Works
● Examples of Different r’s
● Examples of Different r’s
● Non-Linear Relationships
● Properties: Correlation
Coefficient● Properties: Correlation
Coefficient
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 7 of 38
How r Works
r =n
i=1(Xi − X)(Yi − Y )
n
i=1(Xi − X)2 n
i=1(Yi − Y )2=
n
i=1
zxizyi
● Outline: Pearson Correlation
Coefficient
Definition & Properties
● Correlation: Definition &
Properties
● Scatter Diagram & Summary
Statistics● Definition: Correlation
coefficient
● How r Works
● Examples of Different r’s
● Examples of Different r’s
● Non-Linear Relationships
● Properties: Correlation
Coefficient● Properties: Correlation
Coefficient
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 8 of 38
Examples of Different r’s
● Outline: Pearson Correlation
Coefficient
Definition & Properties
● Correlation: Definition &
Properties
● Scatter Diagram & Summary
Statistics● Definition: Correlation
coefficient
● How r Works
● Examples of Different r’s
● Examples of Different r’s
● Non-Linear Relationships
● Properties: Correlation
Coefficient● Properties: Correlation
Coefficient
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 9 of 38
Examples of Different r’s
● Outline: Pearson Correlation
Coefficient
Definition & Properties
● Correlation: Definition &
Properties
● Scatter Diagram & Summary
Statistics● Definition: Correlation
coefficient
● How r Works
● Examples of Different r’s
● Examples of Different r’s
● Non-Linear Relationships
● Properties: Correlation
Coefficient● Properties: Correlation
Coefficient
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 10 of 38
Non-Linear Relationships
r = 0
● Outline: Pearson Correlation
Coefficient
Definition & Properties
● Correlation: Definition &
Properties
● Scatter Diagram & Summary
Statistics● Definition: Correlation
coefficient
● How r Works
● Examples of Different r’s
● Examples of Different r’s
● Non-Linear Relationships
● Properties: Correlation
Coefficient● Properties: Correlation
Coefficient
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 11 of 38
Properties: Correlation Coefficient
■ −1 ≤ r ≤ +1◆ −1 ≤ r < 0 −→ small values of X go with large values of Y and
large values of X go with small values of Y .◆ 0 < r ≤ +1 −→ large values of X go with large values of Y and
small values of X go with small values of Y .◆ r = 0 −→ No linear relationship.
■ r measures the strength of the relationship (magnitude)between two variables and the direction of the relationship(sign).
● Outline: Pearson Correlation
Coefficient
Definition & Properties
● Correlation: Definition &
Properties
● Scatter Diagram & Summary
Statistics● Definition: Correlation
coefficient
● How r Works
● Examples of Different r’s
● Examples of Different r’s
● Non-Linear Relationships
● Properties: Correlation
Coefficient● Properties: Correlation
Coefficient
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
Correlation Slide 12 of 38
Properties: Correlation Coefficient
■ r measures linear relationship.■ Linear transformations of X and/or Y do not change the size
(magnitude) of r. Linear transformations do not change thedirection (sign) as long as
X∗ = aX + b
where a > 0 (e.g., z scores).■ In a scatter plot, a linear transformation(s) (where a > 0)
simply corresponds to relabelling axis (axes).
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 13 of 38
Inference & the Correlation Coefficient
■ Preliminaries: bivariate normal distribution.■ This is a generalization of the normal distribution for two
random variables(say X and Y ).
■ The parameters of the bivariate normal distribution are:
µx, σ2x, µy, σ2
y, and ρxy
■ It looks like a bell or a little hill.■ MatLab program.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 14 of 38
The Bivariate Normal Distribution
■ If X and Y have a bivariate normal distribution, then◆ X ∼ N (µx, σ2
x)
◆ Y ∼ N (µy, σ2y)
◆ ρxy measures how related X and Y are.
■ If X and Y are bivariate normal and ρxy = 0,then X and Y are statistically independent.
■ If X and Y are statistically independent,
then ρxy = 0.
■ The case where ρxy = 0 and the (joint) distribution of X and Y isnot bivariate normal does not imply that X and Y are statistically
independent.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 15 of 38
Example: ρ = 0 & dependent
r = 0
Marginal distributions of X and Y are not normal:
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 16 of 38
Hypothesis Testing
■ Statistical Hypotheses: The most common case,Ho : ρ = 0 versus Ha : ρ 6= 0
■ Assumptions:◆ X and Y are random variables whose joint distribution is
bivariate normal.*** qualification.◆ Observations are independent.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 17 of 38
Hypothesis Testing
■ Test Statistic: Given the assumptions above and Ho : ρ = 0,t =
r√
(1−r2)n−2
■ Sampling Distribution of the test statistic is Student’s t withν = n − 2.
■ Note: the test statistic depends on both r and the samplesize n. So for a given α-level, you do not have to computethe test statistic. . . just find the “critical” value for r.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 18 of 38
Example Hypothesis Testing for ρ
■ High School & Beyond: Reading scores and Motivation■ Ho : ρread,mot = 0 vs Ha : ρread,mot 6= 0.■ Test statistic
t =.21061
√
(1−.210612)600−2
=.21061
√
.9556/598= 5.269
■ For ν = 600 = 2 = 598, p value = P (|t| ≥ 5.269) < .001;therefore, Reject Ho.
■ Conclusion: The data provide evidence that there is a linearrelationship between reading and motivation.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 19 of 38
Alternative Method
■ Find the critical r and compare to the observed r.■ Will reject Ho : ρ = 0 vs Ha : ρ 6= 0 whenever
observed tn−2 ≤.025 tn−2 or observed tn−2 ≥.975 tn−2
■ Take
t =r
(1−r2)n−2
= r(n − 2)
(1 − r2)
and r as a function of t.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 20 of 38
Alternative Method
t =r
√
(1−r2)(n−2)
= r
√
(n − 2)√
(1 − r)2
■ Square both sides and solve for r:t2 = r2 (n − 2)
1 − r2
t2(1 − r2)
(n − 2)= r2
t2
(n − 2)= r2(1 + t2/(n − 2))
r2 =t2
(n − 2)(1 + t2/(n − 2))
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 21 of 38
Alternative Method
■ So rcrit =tcrit
√
(n − 2)(1 + t2crit/(n − 2))
■ For our HSB example:rcrit =
1.9639√
598(
1 + (1.9639)2
598
)
=1.9639√601.85
= .08
■ Any correlation > .08 (or < −.08) would be “significant” forn = 600.
■ Note: “Statistical significance” does not imply “importance”.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 22 of 38
Alternative Method
■ More correlations from the HSB data where N = 600,α = .05, and rcrit = .0877:
Locus of Selfcontrol concept Motivation
Reading .38 .06 .21(p-value) (< .01) (.14) (< .01)
Science .32 .07 .12(p-value) (< .01) (.09) (< .01)
■ Note p-value= Prob(|r| ≥ r given ρ = 0), i.e., Ho : ρ = 0.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient● Inference & the Correlation
Coefficient● The Bivariate Normal
Distribution● Example: ρ = 0 &
dependent
● Hypothesis Testing
● Hypothesis Testing● Example Hypothesis Testing
for ρ
● Alternative Method
● Alternative Method
● Alternative Method
● Alternative Method
● Computing Correlations: SAS
Fisher’s Z-Transformation
Correlation Slide 23 of 38
Computing Correlations: SAS
■ SAS program command:PROC CORR;
VAR rdg sci;
With locus concpt mot;
■ or
PROC CORR;
VAR rdg sci locus concpt mot;
■ ASSIST
■ ANALYST
■ Interactive data analysis
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 24 of 38
Fisher’s Z-Transformation
■ Why? When ρ 6= 0, the sampling distribution for r is skewed.
■ Fisher’s Z-Transformation is a function of r whose samplingdistribution of the transformed value is close to normal.
■ Can compute confidence intervals and a variety of testsusing Fisher’s Z.
■ Requirement: For the distribution of Z to be approximatelynormal,
◆ Variables from a bivariate normal distribution.
◆ Sample size should be n ≥ 10 (and larger if question thebivariate normal assumption).
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 25 of 38
Fisher’s Z-Transformation
Fisher’s Z-Transformation:
Z =1
2ln
(
1 + r
1 − r
)
,
where
■ r is the sample correlation
■ Z is the transformed value of r
■ ln is the natural logarithm.
■ Note: the natural logarithm has base equal toexp = e = 2.718281828; that is,
if expa = x then ln(x) = a
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 26 of 38
Fisher’s Z-Transformation
■ Taking the logarithm of numbers has the effect of“compressing” the differences or space between the largervalues and “stretching” the space between smaller values.
■ If a distribution is positively skewed, the taking the logarithmhas the effect of making the distribution more symmetric.
■ How Fisher’s Z-Transformation works. . .
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 27 of 38
How Fisher’s Z-Transformation Works
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 28 of 38
. . . and for Smaller Samples. . .
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 29 of 38
Sampling Distribution of Fisher’s Z
■ IF Observations◆ Are from a bivariate normal distribution.◆ Are independent across individuals.◆ n ≥ 10
■ THEN the sampling distribution of Z is ≈ N (µZ , σ2Z) where
E(Z) = µZ = Zρ =1
2ln
(
1 + ρ
1 − ρ
)
+ρ
2(n − 1)
σ2Z =
1
n − 3
■ The value ρ2(n−1) is the bias factor, which in SAS you can
request that a bias adjustment be used (in confidenceintervals).
■ µZ and σ2Z are independent of each other.
■ The transformation of r is known as the “inverse of thehyperbolic tangent of r”.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 30 of 38
Using Fisher’s Z
■ HSB data: Are there relationships between psychologicalvariables and achievement: motivation and reading?
■ Observed correlation, r = .21061.
■ If the true population correlation coefficient is ρ > 0, then thesampling distribution of r will be skewed.
■ Use Fisher’s Z transformation,
Z =1
2ln
(
1 + .21061
1 − .21061
)
=1
2ln(1.53360) =
1
2(.4276) = .2138
■ The standard deviation,σZ =
1√600 − 3
= .04093
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 31 of 38
Example Using Fisher’s Z
■ Suppose want to test Ho : ρ = .25 vs Ha : ρ 6= .25.
■ Need the value of Z for ρ = .25,
Z.25 =1
2ln
(
1 + .25
1 − .25= .2554
)
■ Test statistic is
z =Zobs − Znull
σZ=
.2138 − .2554
.04093=
−.0416
.04093= −1.016
■ Retain Ho. . . .
■ Note: a lower case z is used for the test statistic and uppercase Z is denotes Fisher’s Z-transformed value of r.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 32 of 38
Confidence Interval for ρ
■ Another use for Fisher’s Z-transformation.
■ Suppose we want a 95% CI for correlation betweenmotivation and reading scores.
■ Steps:
1. Transform the sample correlation: Zobs = .2138.2. Compute the (1 − α)% CI for Zρ
Zobs ± zα/2σZ
.2138 ± 1.96(.04093) =⇒ (.13, .29)
3. Un-transform the end points of the CI above.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 33 of 38
Confidence Interval for ρ
■ Reversing the Fisher Z transformation. . . a little algebra gives
r =e2Z − 1
e2Z + 1
■ Our example
rlower =e2(.1336) − 1
e2(.1336) + 1=
2.71828.2672 − 1
2.71828.2672 + 1=
.3063
2.3063= .1328
rupper =e2(.2940) − 1
e2(.2940) + 1=
2.71828.5880 − 1
2.71828.5880 + 1=
.8004
2.8004= .2858
■ The 95% confidence interval for ρ between motivation andreading scores is (.13, .29).
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 34 of 38
Fisher’s Z in SAS
TITLE ’Testing Ho: rho=0 using Fisher-Z transformation’;proc corr data=hsb fisher;
var mot rdg;RUN;
TITLE ’Ho: rho= .25 , No bias adjustment’;proc corr data=hsb fisher(rho0=.25 biasadj=no alpha=.05);var mot rdg;RUN;
TITLE ’Ho: rho= .25 , With bias adjustment’;proc corr data=hsb fisher(rho0=.25 biasadj=yes alpha=.05);var mot rdg;RUN;
——————————————————————- slide -
34-1
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 35 of 38
Two Independent Group Test
■ Test whether the correlation from 2 independent groups arethe same or different.
■ The same procedure that we used for testing differencebetween mean for large samples.
■ Statistical hypotheses:
Ho : ρ1 = ρ2 vs Ha : ρ1 6= ρ2
■ Assumptions:
◆ Observations are independent within and betweenpopulations
◆ The joint distribution of the two variables in eachpopulation is bivariate normal.
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 36 of 38
Two Independent Group Test
■ Test Statistic:
z =Z1 − Z2
σZ1−Z2
where◆ Z1 and Z2 are Fisher Z-transformations of the sample
correlations, r1 and r2, from the two groups.
◆ Standard deviation,
σZ1−Z2=
√
σ2Z1
+ σ2Z2
=
√
1
n1 − 3+
1
n2 − 3
Why?
◆ Sampling distribution of the test statistic is N (0, 1).
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 37 of 38
Example Two Independent Group Test
■ Is the relationship between writing scores and locus ofcontrol the same or different for male and female high schoolstudents?
■ The data: nmale = 327 and rmale = .40196nfemale = 273 and rfemale = .28250
■ Statistical hypotheses:Ho : ρmale = ρfemale vs Ha : ρmale 6= ρfemale
■ Assumptions:
◆ Scores come from bivariate normal populations.
◆ Independence within and between groups.
■ . . . so what’s dependent?
● Outline: Pearson Correlation
Coefficient
Definition & Properties
Inference & the Correlation
Coefficient
Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation
● Fisher’s Z-Transformation● How Fisher’s
Z-Transformation Works● . . . and for Smaller
Samples. . .
● Sampling Distribution of
Fisher’s Z
● Using Fisher’s Z
● Example Using Fisher’s Z
● Confidence Interval for ρ
● Confidence Interval for ρ
● Fisher’s Z in SAS
● Two Independent Group Test
● Two Independent Group Test● Example Two Independent
Group Test● Example Two Independent
Group Test
Correlation Slide 38 of 38
Example Two Independent Group Test
Test Statistic:
Zfemale =1
2ln
(
1 + .28250
1 − .28250
)
=1
2(.5808) = .29040
Zmale =1
2ln
(
1 + .40196
1 − .40196
)
=1
2(.85197) = .425980
σ(Zm−Zf ) =
√
1
nmale − 3+
1
nfemale − 3=
√
1
324+
1
270= .08240
z =.42598 − .29040
.08240= 1.645
Conclusion: Retain Ho for α = .05. The difference between thecorrelations more likely to be due to chance than reflect real adifference.