Pearson’s Correlation Coefficient

Kevin Feasel

2016-09-06

R, T-SQL

Mala Mahadevan explains correlation coefficients:

The statistical definition of Pearson’s R Coefficient, as it is called, can be found in detail here for those interested. A value of 1 indicates that there is a strong positive correlation(the two variables in question increase together), 0 indicates no correlation between them, and -1 indicates a strong negative correlation (the two variables decrease together). But you rarely get a perfect -1, 0 or 1. Most values are fractional and interpreted as follows:
High correlation: .5 to 1.0 or -0.5 to 1.0.
Medium correlation: .3 to .5 or -0.3 to .5.
Low correlation: .1 to .3 or -0.1 to -0.3.

Mala includes R and T-SQL code so you can follow along.

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