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corr

Linear or rank correlation

Syntax

rho = corr(X)
rho = corr(X,Y)
[rho,pval] = corr(X,Y)
[rho,pval] = corr(___,Name,Value)

Description

rho = corr(X) returns a matrix of the pairwise linear correlation coefficient between each pair of columns in the input matrix X.

example

rho = corr(X,Y) returns a matrix of the pairwise correlation coefficient between each pair of columns in the input matrices X and Y.

example

[rho,pval] = corr(X,Y) also returns pval, a matrix of p-values for testing the hypothesis of no correlation against the alternative hypothesis of a nonzero correlation.

example

[rho,pval] = corr(___,Name,Value) specifies options using one or more name-value pair arguments in addition to the input arguments in the previous syntaxes. For example, 'Type','Kendall' specifies computing Kendall's tau correlation coefficient.

Examples

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Find the correlation between two matrices and compare it to the correlation between two column vectors.

Generate sample data.

rng('default')
X = randn(30,4);
Y = randn(30,4);

Introduce correlation between column two of the matrix X and column four of the matrix Y.

Y(:,4) = Y(:,4)+X(:,2);

Calculate the correlation between columns of X and Y.

[rho,pval] = corr(X,Y)
rho = 4×4

   -0.1686   -0.0363    0.2278    0.3245
    0.3022    0.0332   -0.0866    0.7653
   -0.3632   -0.0987   -0.0200   -0.3693
   -0.1365   -0.1804    0.0853    0.0279

pval = 4×4

    0.3731    0.8489    0.2260    0.0802
    0.1045    0.8619    0.6491    0.0000
    0.0485    0.6039    0.9166    0.0446
    0.4721    0.3400    0.6539    0.8837

As expected, the correlation coefficient between column two of X and column four of Y, rho(2,4), is the highest, and it represents a high positive correlation between the two columns. The corresponding p-value, pval(2,4), is zero to the four digits shown. Because the p-value is less than the significance level of 0.05, it indicates rejection of the hypothesis that no correlation exists between the two columns.

Calculate the correlation between X and Y using corrcoef.

[r,p] = corrcoef(X,Y)
r = 2×2

    1.0000   -0.0329
   -0.0329    1.0000

p = 2×2

    1.0000    0.7213
    0.7213    1.0000

The MATLAB® function corrcoef, unlike the corr function, converts the input matrices X and Y into column vectors, X(:) and Y(:), before computing the correlation between them. Therefore, the introduction of correlation between column two of matrix X and column four of matrix Y no longer exists, because those two columns are in different sections of the converted column vectors.

The value of the off-diagonal elements of r, which represents the correlation coefficient between X and Y, is low. This value indicates little to no correlation between X and Y. Likewise, the value of the off-diagonal elements of p, which represents the p-value, is much higher than the significance level of 0.05. This value indicates that not enough evidence exists to reject the hypothesis of no correlation between X and Y.

Test alternative hypotheses for positive, negative, and nonzero correlation between the columns of two matrices. Compare values of the correlation coefficient and p-value in each case.

Generate sample data.

rng('default')
X = randn(50,4);
Y = randn(50,4);

Introduce positive correlation between column one of the matrix X and column four of the matrix Y.

Y(:,4) = Y(:,4)+0.7*X(:,1);

Introduce negative correlation between column two of X and column two of Y.

Y(:,2) = Y(:,2)-2*X(:,2);

Test the alternative hypothesis that the correlation is greater than zero.

[rho,pval] = corr(X,Y,'Tail','right')
rho = 4×4

    0.0627   -0.1438   -0.0035    0.7060
   -0.1197   -0.8600   -0.0440    0.1984
   -0.1119    0.2210   -0.3433    0.1070
   -0.3526   -0.2224    0.1023    0.0374

pval = 4×4

    0.3327    0.8405    0.5097    0.0000
    0.7962    1.0000    0.6192    0.0836
    0.7803    0.0615    0.9927    0.2298
    0.9940    0.9397    0.2398    0.3982

As expected, the correlation coefficient between column one of X and column four of Y, rho(1,4), has the highest positive value, representing a high positive correlation between the two columns. The corresponding p-value, pval(1,4), is zero to the four digits shown, which is lower than the significance level of 0.05. These results indicate rejection of the null hypothesis that no correlation exists between the two columns and lead to the conclusion that the correlation is greater than zero.

Test the alternative hypothesis that the correlation is less than zero.

[rho,pval] = corr(X,Y,'Tail','left')
rho = 4×4

    0.0627   -0.1438   -0.0035    0.7060
   -0.1197   -0.8600   -0.0440    0.1984
   -0.1119    0.2210   -0.3433    0.1070
   -0.3526   -0.2224    0.1023    0.0374

pval = 4×4

    0.6673    0.1595    0.4903    1.0000
    0.2038    0.0000    0.3808    0.9164
    0.2197    0.9385    0.0073    0.7702
    0.0060    0.0603    0.7602    0.6018

As expected, the correlation coefficient between column two of X and column two of Y, rho(2,2), has the negative number with the largest absolute value (-0.86), representing a high negative correlation between the two columns. The corresponding p-value, pval(2,2), is zero to the four digits shown, which is lower than the significance level of 0.05. Again, these results indicate rejection of the null hypothesis and lead to the conclusion that the correlation is less than zero.

Test the alternative hypothesis that the correlation is not zero.

[rho,pval] = corr(X,Y)
rho = 4×4

    0.0627   -0.1438   -0.0035    0.7060
   -0.1197   -0.8600   -0.0440    0.1984
   -0.1119    0.2210   -0.3433    0.1070
   -0.3526   -0.2224    0.1023    0.0374

pval = 4×4

    0.6654    0.3190    0.9807    0.0000
    0.4075    0.0000    0.7615    0.1673
    0.4393    0.1231    0.0147    0.4595
    0.0120    0.1206    0.4797    0.7964

The p-values, pval(1,4) and pval(2,2), are both zero to the four digits shown. Because the p-values are lower than the significance level of 0.05, the correlation coefficients rho(1,4) and rho(2,2) are significantly different from zero. Therefore, the null hypothesis is rejected; the correlation is not zero.

Input Arguments

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Input matrix, specified as an n-by-k matrix. The rows of X correspond to observations, and the columns correspond to variables.

Example: X = randn(10,5)

Data Types: single | double

Input matrix, specified as an n-by-k2 matrix when X is specified as an n-by-k1 matrix. The rows of Y correspond to observations, and the columns correspond to variables.

Example: Y = randn(20,7)

Data Types: single | double

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: corr(X,Y,'Type','Kendall','Rows','complete') returns Kendall's tau correlation coefficient using only the rows that contain no missing values.

Type of correlation, specified as the comma-separated pair consisting of 'Type' and one of these values.

corr computes the p-values for Pearson's correlation using a Student's t distribution for a transformation of the correlation. This correlation is exact when X and Y come from a normal distribution. corr computes the p-values for Kendall's tau and Spearman's rho using either the exact permutation distributions (for small sample sizes) or large-sample approximations.

Example: 'Type','Spearman'

Rows to use in computation, specified as the comma-separated pair consisting of 'Rows' and one of these values.

ValueDescription
'all'Use all rows of the input regardless of missing values (NaNs).
'complete'Use only rows of the input with no missing values.
'pairwise'Compute rho(i,j) using rows with no missing values in column i or j.

The 'complete' value, unlike the 'pairwise' value, always produces a positive definite or positive semidefinite rho. Also, the 'complete' value generally uses fewer observations to estimate rho when rows of the input (X or Y) contain missing values.

Example: 'Rows','pairwise'

Alternative hypothesis, specified as the comma-separated pair consisting of 'Tail' and one of the values in the table. 'Tail' specifies the alternative hypothesis against which to compute p-values for testing the hypothesis of no correlation.

ValueDescription
'both'Test the alternative hypothesis that the correlation is not 0.
'right'Test the alternative hypothesis that the correlation is greater than 0
'left'Test the alternative hypothesis that the correlation is less than 0.

corr computes the p-values for the two-tailed test by doubling the more significant of the two one-tailed p-values.

Example: 'Tail','left'

Output Arguments

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Pairwise linear correlation coefficient, returned as a matrix.

  • If you input only a matrix X, rho is a symmetric k-by-k matrix, where k is the number of columns in X. The entry rho(a,b) is the pairwise linear correlation coefficient between column a and column b in X.

  • If you input matrices X and Y, rho is a k1-by-k2 matrix, where k1 and k2 are the number of columns in X and Y, respectively. The entry rho(a,b) is the pairwise linear correlation coefficient between column a in X and column b in Y.

p-values, returned as a matrix. Each element of pval is the p-value for the corresponding element of rho.

If pval(a,b) is small (less than 0.05), then the correlation rho(a,b) is significantly different from zero.

More About

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Pearson's Linear Correlation Coefficient

Pearson's linear correlation coefficient is the most commonly used linear correlation coefficient. For column Xa in matrix X and column Yb in matrix Y, having means X¯a=i=1n(Xa,i)/n, and Y¯b=j=1n(Xb,j)/n, Pearson's linear correlation coefficient rho(a,b) is defined as:

rho(a,b)=i=1n(Xa,iX¯a)(Yb,iY¯b){i=1n(Xa,iX¯a)2j=1n(Yb,jY¯b)2}1/2,

where n is the length of each column.

Values of the correlation coefficient can range from –1 to +1. A value of –1 indicates perfect negative correlation, while a value of +1 indicates perfect positive correlation. A value of 0 indicates no correlation between the columns.

Kendall's Tau Coefficient

Kendall's tau is based on counting the number of (i,j) pairs, for i<j, that are concordant—that is, for which Xa,iXa,j and Yb,iYb,j have the same sign. The equation for Kendall's tau includes an adjustment for ties in the normalizing constant and is often referred to as tau-b.

For column Xa in matrix X and column Yb in matrix Y, Kendall's tau coefficient is defined as:

τ=2Kn(n1),

where K=i=1n1j=i+1nξ*(Xa,i,Xa,j,Yb,i,Yb,j), and

ξ*(Xa,i,Xa,j,Yb,i,Yb,j)={1if(Xa,iXa,j)(Yb,iYb,j)>00if(Xa,iXa,j)(Yb,iYb,j)=01if(Xa,iXa,j)(Yb,iYb,j)<0.

Values of the correlation coefficient can range from –1 to +1. A value of –1 indicates that one column ranking is the reverse of the other, while a value of +1 indicates that the two rankings are the same. A value of 0 indicates no relationship between the columns.

Spearman's Rho

Spearman's rho is equivalent to Pearson's Linear Correlation Coefficient applied to the rankings of the columns Xa and Yb.

If all the ranks in each column are distinct, the equation simplifies to:

rho(a,b)=16d2n(n21),

where d is the difference between the ranks of the two columns, and n is the length of each column.

Tips

The difference between corr(X,Y) and the MATLAB® function corrcoef(X,Y) is that corrcoef(X,Y) returns a matrix of correlation coefficients for two column vectors X and Y. If X and Y are not column vectors, corrcoef(X,Y) converts them to column vectors.

References

[1] Gibbons, J.D. Nonparametric Statistical Inference. 2nd ed. M. Dekker, 1985.

[2] Hollander, M., and D.A. Wolfe. Nonparametric Statistical Methods. Wiley, 1973.

[3] Kendall, M.G. Rank Correlation Methods. Griffin, 1970.

[4] Best, D.J., and D.E. Roberts. "Algorithm AS 89: The Upper Tail Probabilities of Spearman's rho." Applied Statistics, 24:377-379.

Extended Capabilities

Introduced before R2006a