Stat 312: Lecture 22 Inference on Correlation Moo K. Chung [email protected]April 17, 2003 Concepts 1. Assume that X and Y are two random variables whose joint probability density function f is the bivariate normal such that X ∼ N ( μ X , σ 2 X ) , Y ∼ N ( μ Y , σ 2 Y ) and ρ ( X, Y ) = ρ . In this situation, we can show that ( Y | X = x ) = β0 + β 1 x , where β 1 = ρσ Y /σ X . This is the regression model we studied! 2. Testing H0 : ρ = 0 vs. H 1 : ρ 6 = 0 is equiva-lent to H0 : β 1 = 0 vs. H 1 : β 1 6 = 0 . So the appropriate test statistic for testing H0 : ρ = 0 is T = ˆ β 1 /S ˆ β 1 ∼ t n-2 (see Lecture 19, Concept 3). This test statistic is equivalent to T = r √ n-2 √ 1-r 2 . 3. Testing for independence is equivalent to testing ρ = 0 in bivariate data. In-class problems Exercise 12.67. A sample of 10,000 ( x i , y i ) pairs re-sulted in the sample correlation coefficient r = 0 . 022 . Test
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This note was uploaded on 01/31/2008 for the course STAT 312 taught by Professor Chung during the Spring '04 term at University of Wisconsin.