Reliability of the estimations of the correlation coeficcient

Steiner, Ferenc and Hajagos, B. (2001) Reliability of the estimations of the correlation coeficcient. Acta Geodaetica et Geophysica Hungarica, 36 (4). pp. 399-419. ISSN 1217-8977

[img] Text
Restricted to Repository staff only

Download (459kB)


On the basis upon n corresponding value-pairs (xi; yi), i = 1, …, n, the closeness of correspondence between the random variables x and h is customarily characterized by the classical correlation coefficient r (see Eq. (2) in the present paper), equally in the geosciences and in the everyday life. It is shown in the present paper the lack of the robustness of Eq. (2) (r has even no meaning for circa 40% of the types occurring in the geosciences), and the lack of the resistance (one single outlying value-pair can distort the r-value in an incredible degree). The modern correlation coeffcient rrob (see Eq. (9) in this paper) is completely resistant against outliers, and in the same time also robust: Eq. (9) is applicable even if x and h are of Cauchy type, very far lying from the Gaussian distribution and even from the most frequently occurring so-called statistical distribution (see Eq. 6). For the Cauchy distribution neither the scatter (variance) nor the expected value exist therefore for this distribution-type even the classical theoretical value (see Eq. 3) does not exist: the calculation of r according to Eq. (2) gives in this case an "estimation" of a not existing quantity. In the paper are presented the results of a time consuming series of Monte Carlo calculations made equally for the statistical and Gaussian distributions and for n = 10;   30 and   100; the errors characterized by the semi-interquartile and semi- intersextile ranges of the modern rrob (Eq. 9) were calculated and tabulated for rt = 0; 0.1; 0. 2; … 0. 7 and 0. 8. An approximate method is also given (see the simple Eqs 16 and 17) to determine that value of n which assures a prescribed accuracy of the modern rrob.

Item Type: Article
Subjects: Q Science / természettudomány > QE Geology / földtudományok > QE01 Geophysics / geofizika
Depositing User: Endre Sarvay
Date Deposited: 22 Jul 2018 09:28
Last Modified: 08 Sep 2018 08:20

Actions (login required)

Edit Item Edit Item