For questions about correlation of two random variables. Use it with [tag: random-variables] and [tag: probability].

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similarities between two binary matrices

I want to measure the similarities between two matrices A and B. Both A and B contains the feature vectors of sounds and are in binary format. i want to see what is the similarities between these two ...
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0answers
11 views

correlation coefficient between ordinal and binary variables spss or stata [on hold]

First of all, I know only the basics regarding correlation. I have two variables, the one is binary (Yes/No) and the other is likert scale (1=not at all, 2, 3, 4, 5=very much). I want to find the ...
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23 views

The meaning of correlation coefficient and p-value

I found the following quote in a study, but I'm not sure exactly what it means: Using linear regression, the immunization schedules of these 34 nations were examined and a correlation ...
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0answers
5 views

Calculate an ensemble average on computer

In a book I am reading, they have the expression $<j_1(u(0)) \, j_1(u(t))>$ where $j_1$ is a first order spherical bessel function. Now I have an expression for $u(t)$ and would like to ...
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1answer
46 views

Determine Patterns

I have some weather data that I would like to analyze. I have about a millions rows of data, and each row has about 100 attribute values. Each attribute value represents some measurement (i.e., ...
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14 views

We are trying to find the correlation between Stock Price index and Natural Disasters. I dont know what Statistical Method To use. [migrated]

Can someone help me identify what statistical method ( or any method ) that i can use to correlate the effects of natural disasters on Stock Market Index.
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covariance and correlation of two three dimentional gaussian distributions

Lets say we have 'n' three dimensional dimensional gaussian distributions with a '3' dimensional mean vector and 3 x 3 non-diagonal covariance matrix. How can I check if they are correlated? Is ...
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2answers
66 views

Autocorrelation function and power spectral density

I want to get the autocorrelation function of the power spectral density of the wind. This function is defined by: $$s(\omega)=\frac{c_1}{(1+1.5 \times c_2\omega)^{5/3}}$$ $c_1$ and $c_2$ are ...
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1answer
31 views

Regression with Mean, Standard Deviation, Range and Correlation

A research team collected data on students in a statistics course. Their dependent variable was the student’s score on the final examination, which ranged from 200 to 800 points. The observed average ...
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1answer
110 views

Weighing correlation by sample size

I'm a scholar in the humanities trying to not be a complete idiot about statistics. I have a problem relevant to some philological articles I'm writing. To avoid introducing the obscure technicalities ...
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1answer
30 views

Sample Size for Correlation Testing

A research team wishes to test the null hypothesis: $H_0, r=0$ at $\alpha = 0.025$ against the alternative: $H_1, r>0$ using Fisher’s transformation of the Pearson product moment correlation ...
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1answer
18 views

Work out if the relationship between 2 datasets is constant

I have 2 one-dimensional datasets, let's call them a and b. I want to know the correlation between ...
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1answer
30 views

Correlated Rayleigh random variable generation

How to generate 4 correlated random variables Rayleigh distributed with parameter "a" and the co-variance matrix is toeplitz (1 rho rho^2 rho^3) where rho is the correlation coefficient
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1answer
26 views

What test should I use to statistically compare two intraclass correlation coefficients (ICC)?

I need to compare two generalizability (G) coefficients for data that are from two separate populations. G coefficients are a type of intraclass correlation coefficient (ICC). The literature on ...
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0answers
19 views

Help in finding if the relation exist

I have this relation: $$ exp(-\phi \rho ) = \frac{h-1}{n-1} \psi(\phi, \rho ) $$ where $\phi \in [a,b] \subseteq \mathbb{R}^+ \backslash \{0\} $, $\rho \in [c,d] \subseteq \mathbb{R}^+ ...
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0answers
9 views

Difference in magnitude between two cross-correlations by two different way of calculations.

I think there are two ways of calculating cross-correlations for two difference random variables, X and Y. I am assuming discrete functions. 1) Multiplication $$ \sum_{m=-\infty}^\infty x[m]y[m+n] ...
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0answers
13 views

Correlation Statistic with a neutral score

I'm trying to develop a correlation statistic to compare lines/random variables (represented as a series of points). I want the correlation value to convey little information if one the lines is a ...
0
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1answer
49 views

Summing dependent random variables with unknown joint cdf

Suppose that X_1, X_2,... X_5000 are discrete and dependent non-identically distributed random variables, whose marginal distributions are known, but whose joint distribution is not known. Is there ...
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0answers
14 views

Difference between Kendall tau distance and Kendall tau rank correlation coefficient

What is the difference between Kendall tau distance and Kendall tau rank correlation coefficient? Which one I should use to calculate how similar two arbitrary permutations of ranks are? Suppose, we ...
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22 views

Correlating random numbers seems to skew the data

I am trying to generate a series of correlated random numbers that represent currency exchange rates for a Monte-Carlo simulation. I am attempting to do this via a Cholesky decomposition of the ...
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1answer
29 views

correlation estimator variance

Consider I have realisations of two random variables $X$ and $Y$ and I estimate their correlation thanks to the classic formula : ...
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1answer
11 views

correlation matching audio files peak position

if i cross correlate an audio file with itself (which means there is no delay or difference), the peak position should be a zero or at the center of the cross correlation? that is really confusing ...
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1answer
23 views

Convolution module

I am trying to apply GCC-PHAT algorithm here to process audio files and find delay between them. Im coding using Android and Java with the help of this library, and comparing the results with Matlab. ...
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0answers
36 views

Expectation and convolution question.

I am learning in an image processing course, and the professor did the following: As part of a derivation, has this: What I do not understand, is how he was able to remove $r(i,j)$ to the ...
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1answer
19 views

Correlation coefficient of i.i.d variables

Let $X_1, X_2, X_3, ...$ be i.i.d variables, and for every $i$ $X_i$ has variance. Define $S_k=\sum_{i=1}^{k}X_i$. Calculate $\rho(S_m,S_n)$ for $m\leq n$. Well, I know it should be $\sqrt{ m/n }$, ...
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0answers
13 views

factor analysis for given data

suppose that we have following data i have done covariance matrix and eigenvalue decomposition ...
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2answers
30 views

Finding the correlation coefficient of ordered statistics

I am working on the following problem. Let $$X_{(1)}, \ldots ,X_{(n)}$$ be the order statistics from the uniform distribution of $[0,1]$. Find the coefficient correlation of $X_{(1)}$ and ...
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1answer
39 views

How do you prove that if $ X_t \sim^{iid} (0,1) $, then $ E(X_t^{2}X_{t-j}^{2}) = E(X_t^{2})E(X_{t-j}^{2})$?

Suppose we have a time series $X_t$ s.t. $X_t \sim^{iid} (0,1)$. How do you prove that if $ X_t \sim^{iid} (0,1) $, then $ E(X_t^{2}X_{t-j}^{2}) = E(X_t^{2})E(X_{t-j}^{2})$? Or, I guess, if ...
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2answers
34 views

Correlation coefficient calculation

Why do we remove of the mean of the data while calculating the correlation coefficient value of bivariate data in statistics? DotProduct/ProductOfLengthOfVectors should always give anyway a ...
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0answers
26 views

Multiple correlation

My question is very elementary. I need to implement a software that computes the multiple correlation of a set of datas that I have. In order to do that, I need would like to find the generic formula ...
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1answer
32 views

How can you compare two mathematical functions of single variable? [closed]

I have some functions and want to see how close one function is to the other. One way to check is correlation. What are the other ways of checking the "similarness", "closeness" or "nearness"?
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2answers
34 views

What is this idea of “Minimum Correlation”?

So I was having a read of this paper here: Minimum correlation for any bivariate Geometric distribution. On the first page of he paper we encounter the following definition of "minimum correlation": ...
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1answer
24 views

Mutual information decrease with coarse-graining

Let $X,A,Y,B,C,D$ be random binary variables. $D$ is independent from $X,A,C$ and $C$ is independent from $Y,B,D$. Is it true that: If $I(Y:B|D=0)\leq \epsilon$ then $I(X\oplus Y:A\oplus ...
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2answers
37 views

Autocorrelation and var-cov matrix

$$Y_t=\beta_1+\beta_2 X_{t2}+\dots +\beta_k X_{tk}+\epsilon_t \qquad (t=1,\dots,T)$$ $$\epsilon_t=\rho \epsilon_{t-1}+v_t, \qquad v_t \sim \mathrm{i.i.d.}(0,\sigma^2_v)$$ GLS estimation under AR(1) ...
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2answers
26 views

Determine range of $\rho$ in correlation matrix

I was asked a question and I was wondering if you can help solve it. Given are $3$ random variables $A$, $B$and $C$ all having the same correlation. So the correlation matrix looks like: ...
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1answer
19 views

Does correlation have to be in the context of (Gaussian) normal distribution?

I am not quite familiar with the concept of correlation. The Pearson's correlation coefficient is defined as: $\rho_{X,Y}=\mathrm{corr}(X,Y)={\mathrm{cov}(X,Y) \over \sigma_X \sigma_Y} ...
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1answer
27 views

How to calculate the HHG (Heller Heller Gorfine) correlation

HHG (A consistent multivariate test of association based on ranks of distances) is introduced in: Heller, R., Heller, Y., & Gorfine, M. (2012b). A consistent multivariate test of association ...
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1answer
33 views

Correlation with many zero values

I have data for selling books from 2 bookstores for 100 days. For the first 90 days, no book was sold. Then the following books were sold Day# - BookStore1 - BookStore2 Day1 - 0 - 0 ...
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2answers
25 views

Strong vs weak relationship in this correlation

I produced this plot and regression line in R and I thought my results were quite odd. Is the relationship of the correlation determined by how steep the regression line is? So in this case it isn't ...
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1answer
50 views

Variance from joint random variables?

So I have 20 different 'weeks' that are being considered as part of a weight loss exercise. The weight lost each week is distributed normally around mean $\mu =0.8kg$ and std. deviation $\sigma^2= ...
1
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1answer
97 views

How to explain tie-correction for Spearman's Rank Correlation?

In Mathematics at my college we are being taught correlation in which when there are ties in ranks we take average rank for all of the ties and then total correction factor is added summation of ...
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1answer
52 views

graph in excel to represent correlation of 3 parameters

I have some data in excel and I would like to make a graphical representation of those data. Structure of my data: persons ID : from 1 to 485 to every person, there is one parameter like average ...
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1answer
65 views

Correlation between two random variables

Show that if $\rho_{XY} = +1$ then $X=a+bY$ for some constants $a,b$ and $b>0$. How would I go about showing this? Note: $$ \rho_{XY} = \frac{\mbox{Cov}(X,Y)}{\sqrt{\mbox{Var}(X)\mbox{Var}(Y)}} ...
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1answer
43 views

Correct way to evaluate correlation of a computer model with multiple human annotator scores

I have posted this question to CrossValidated without lack. If anyone from this community can give some insights, I would be really grateful. Assume we have 3 annotators, each one of which has ...
0
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2answers
31 views

Showing $Cor(X,Y) = 1$ if $a>0$ and $-1$ if $a<0$

Suppose X and Y are random variables such that $Y=aX+b$ and $a$ and $b$ are constants. Show that $Cor(X,Y) = \begin{cases} +1 &\mbox{if } a > 0 \\ -1 & \mbox{if } a < 0. \end{cases}$ ...
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1answer
22 views

Comparing ranking algorithms

If I have several different ranking algorithms and a 'correct' ranking, is there a good way of "scoring" the alternative rankings given by the algorithms against the reference one? For example: ...
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1answer
18 views

Linear regression with normalized variables

Suppose I have two variables X and Y such that mean(X) = 0 = mean(Y) and sd(X) = 1 = sd(Y). The slope of the linear regression line for Y vs X is cov(X,Y)/var(X) = corr(X,Y) since X and Y are ...
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0answers
34 views

Autocorrelation Function and Power spectrum from ACF

In my assignment I am required to write or use a C code to find the autocorrelation function of a given function and then find the power spectrum from it. The function is as follows: $$f(t) = \cos(10 ...
2
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0answers
23 views

correlation estimator

Suppose I have independent variables $X$ and $Y$ which follows exponential distribution with parameter $\lambda$. I want to find the variance of correlation estimator $\hat{\rho}$ which is defined as: ...
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0answers
17 views

stats project - good model, what to do with it?

I've recently been working on a stats project for school. I have been comparing a country's 'quality of life index' with 'moral' opinions survey to see if there are relations. Here's some example ...