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Mathematics of Linear Correlation

Mathematics of Linear Correlation

Learn about the mathematical equation for the linear correlation and F-test.

Understanding linear correlation equation

What is linear correlation, mathematically speaking? If you’ve taken basic statistics, you are likely familiar with linear correlation already. Linear correlation works very similarly to linear regression. For two columns, XX and YY, linear correlation ρρ (the lowercase Greek letter “rho”) is defined as the following:

ρ=E[(XµX)(YµY)]σXσYρ = \frac{E[(X-µ_X)(Y-µ_Y)]}{σ_Xσ_Y} ...