16_corr_regres3

16_corr_regres3 - Correlation& Regression III 9.07...

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Unformatted text preview: Correlation & Regression, III 9.07 4/6/2004 Review • Linear regression refers to fitting a best fit line y=a+bx to the bivariate data (x, y), where a = m y – bm x b = cov(x, y)/s x 2 = ss xy /ss xx • Correlation, r, is a measure of the strength and direction (positive vs. negative) of the relationship between x and y. r = cov(x, y)/(s x s y ) (There are various other computational formulas, too.) Outline • Relationship between correlation and regression, along with notes on the correlation coefficient • Effect size, and the meaning of r • Other kinds of correlation coefficients • Confidence intervals on the parameters of correlation and regression Relationship between r and regression • r = cov(x, y)/(s x s y ) 2 • In regression, the slope, b = cov(x, y)/s x • So we could also write b = r·(s y /s x ) • This means b = r when s x = s y 1 Notes on the correlation coefficient, r 1. The correlation coefficient is the slope (b) of the regression line when both the X and Y variables have been converted to z-scores, i.e. when s x = s y = 1. Or more generally, when s x = s y . For a given s x and s y , the larger the size of the correlation coefficient, the steeper the slope. Invariance of r to linear transformations of x and y • A linear change in scale of either x or y will not change r. • E.G. converting height to meters and weight to kilograms will not change r. • This is just the sort of nice behavior we’d like from a measure of the strength of the relationship. – If you can predict height in inches from weight in lbs, you can just as well predict height in meters from weight in kilograms. Notes on the correlation coefficient, r 2. The correlation coefficient is invariant under linear transformations of x and/or y. • (r is the average of z x z y , and z x and z are y invariant to linear transformations of x and/or y) How do correlations (=r) and regression differ? • While in regression the emphasis is on predicting one variable from the other, in correlation the emphasis is on the degree to which a linear model may describe the relationship between two variables. • The regression equation depends upon which variable we choose as the explanatory variable, and which as the variable we wish to predict. • The correlation equation is symmetric with respect to x and y – switch them and r stays the same. 2 but regression is not y x x y )/s x 2 )/s y 2 )/(s x s y ) )/(s x s y ) x ↔ y To look out for, when calculating r: • • regression) – Correlation over a normal range 80 120 160 200 240 50 60 70 80 ( ) ( ) Correlation over a narrow range of heights 80 50 70 80 ( ) ( ) Correlation is symmetric wrt x & y, a = m – bm a = m – bm b = cov(x, y b = cov(x, y r = cov(x, y r = cov(x, y In regression, we had to watch out for outliers and extreme points, because they could have an undue influence on the results....
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This note was uploaded on 11/11/2011 for the course BIO 9.07 taught by Professor Ruthrosenholtz during the Spring '04 term at MIT.

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16_corr_regres3 - Correlation& Regression III 9.07...

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