Questions tagged [correlation]
For questions about correlation of two random variables. Correlation is a statistical technique that can show whether and how strongly pairs of variables are related. Use it with [tag: random-variables] and [tag: probability].
1,503
questions
-1
votes
0
answers
25
views
Known correlations [closed]
A bit lost on where to get started on this problem — any thoughts would be greatly appreciated!
I know X + Y is normally distributed with N(0, 2), not sure how to compare two normally distributed ...
-1
votes
0
answers
10
views
How to prove this relation for Kendall's distribution function (or Kendall's measure)
Kendall Distribution Function (Nelsen, 2006, p. 163) Or Kendall Measure (Salvadori et al., 2007, p. 148) Or Kendall Function (Joe, 2014, pp. 419–422) is the cumulative distribution function (CDF) of ...
2
votes
2
answers
120
views
Autocorrelation of Binary Random Variable
Let $X_i$ be a random variable that takes either the value $+1$ or $-1$. Suppose that if the previous value $X_{i-1}$ is $x\in \left\{ -1, 1\right\}$, then $X_i$ also takes value $x$ with probability $...
- 449
0
votes
1
answer
21
views
Is joint normal distribution flexible in correlation?
Suppose random variables $X$, $Y$, and $Z$ follow joint normal distribution.
Conditional on $X$, we can calculate the correlation coefficient of $Y$ and $Z$. Is it always the case that this ...
- 818
0
votes
0
answers
13
views
Correlation Best Suited for Small Dataset? [migrated]
I have an x and a y that I would like to find the correlation of to learn more about their relationship. Unfortunately, I only have 10 points. Can I in good faith use the Pearson correlation ...
- 43
2
votes
0
answers
45
views
Conditional Expectation for a multivariate normal distribution
I have $n$ random variables, $X_1, ..., X_n$, with covariance matrix, $\mathbf{\Sigma}^{n\times n}$ and I am trying to calculate $\mathbb{E}(X_1 | X_2 = x_1, ..., X_n = x_n)$.
I am aware of the ...
- 45
0
votes
0
answers
15
views
Removing Independent Variable Uncorrelated with All Other Variables in Linear Regression
I've been looking at Wooldrige's Introductory Econometrics and came across the following section related to omitted variables in multiple regression here
The section essentially says that if an ...
0
votes
0
answers
28
views
How to determine the correlation between a discrete variable and a continuous variable?
I have 9 conditions (discrete variables) with each having only two states: occurrence (corresponding to 1) and non-occurrence (corresponding to 0), resulting in a total of approximately 511 ...
- 101
2
votes
1
answer
54
views
Probability of coin flip given forecasts
Suppose you have a coin that flips $H$ or $T$ with some unknown probability.
You also have access to two devices, $A$ and $B$, where $A$ correctly predicts the outcome of the coin with $p = 0.7$ and $...
- 794
0
votes
0
answers
36
views
What is the expectation of $R^2$ for for iid $y, x_1, ... x_k \sim N(0,1)$
$Y, X_1, ...., X_k$ are all iid $N(0,1)$ with $n$ samples.
I can't make any progress on this problem... I don't even know an approximation but from simulation it seems to be $k/n$.
What is the ...
- 249
0
votes
0
answers
26
views
Formula for jointly correlated variables
I've always seen the following expression for normal correlated variables which is considered quite basic:
\begin{equation}
A=\rho Z+\sqrt{1-\rho^2}\epsilon
\end{equation}
I understand that it follows ...
- 1
0
votes
0
answers
28
views
Proportion of variance in a linear regression model with a covaring predictor
Given a model:
\begin{align}Y_{i}=Z_{i}*\beta * X_{i} + Z_{i}\tag{Eq. 1}&\end{align}
I am interested in a closed formula for the proportion of variance explained by the predictor variable $X$, ...
- 181
0
votes
0
answers
20
views
Correlation vs Regression for a simple task
Hello everyone and thank you for taking the time with my issue! I want to apologize in advance if my question would've fit better on stack exchange, but I decided that the question is more related to ...
- 1
0
votes
0
answers
41
views
Why is the autocorrelation of an uncorrelated random noise process the dirac delta distribution?
I am reading Stochastic Methods by Gardiner and in the beginning of chapter 4 he motivates the rigorous interpretation of a Stochastic Differential equation by describing the properties of a "...
0
votes
0
answers
23
views
Which Test to Find a Correlation Between Two Selections.
I have a dataset of about 22 000 items, from which two processes have selected a small subset. I want to know if there is a correlation between the two selections, and I wonder which statistical test ...
- 1