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Find the cutoff correlation value for Pearson correlation test
4 messages · John, Jim Lemon, David L Carlson
On 11/15/2013 12:53 PM, jpm miao wrote:
Hi,
I find a few Pearson correlation test functions like
fBasics::correlationTest or stats::cor.test
which give the p-value of the test result. Is there a function that
calculate the cutoff correlation value for a specific p-value , e.g., p =
0.05?
I have a plot for the cross correlations between two time series, and I
would like to add a horizontal line that marks the significance of the
correlations.
Hi Miao, Perhaps you could use the confidence interval. Jim
I haven't looked at fBasics::correlationTest, but cor.test uses the t distribution to evaluate significance: t = sqrt(df) * r/sqrt(1 - r^2) where df=n-2 If you solve that for r, you get r = t/sqrt(t^2+100-2) If you choose t as qt(.975, df) for a two-tailed test at p<.05 you can plug in t and place your limits at +/- of that value. Eg for 100 observations:
t <- qt(.975, 98) t
[1] 1.984467
rlim <- t/sqrt(t^2+100-2) rlim
[1] 0.1965512
rs <- replicate(1000, cor(rnorm(100), rnorm(100))) hist(rs) abline(v=c(-rlim, rlim))
------------------------------------- David L Carlson Department of Anthropology Texas A&M University College Station, TX 77840-4352 -----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Jim Lemon Sent: Thursday, November 14, 2013 9:44 PM To: jpm miao Cc: r-help Subject: Re: [R] Find the cutoff correlation value for Pearson correlation test
On 11/15/2013 12:53 PM, jpm miao wrote:
Hi,
I find a few Pearson correlation test functions like
fBasics::correlationTest or stats::cor.test
which give the p-value of the test result. Is there a function
that
calculate the cutoff correlation value for a specific p-value
, e.g., p =
0.05? I have a plot for the cross correlations between two time
series, and I
would like to add a horizontal line that marks the
significance of the
correlations.
Hi Miao, Perhaps you could use the confidence interval. Jim ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
I should have added, that these limits are not been corrected for multiple comparisons. With 1000 tests, we expect about 50 to be outside the limits. So you might want to use p.adjust() to take multiple comparisons into account. David -----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of David Carlson Sent: Friday, November 15, 2013 9:42 AM To: 'Jim Lemon'; 'jpm miao' Cc: 'r-help' Subject: Re: [R] Find the cutoff correlation value for Pearson correlation test I haven't looked at fBasics::correlationTest, but cor.test uses the t distribution to evaluate significance: t = sqrt(df) * r/sqrt(1 - r^2) where df=n-2 If you solve that for r, you get r = t/sqrt(t^2+100-2) If you choose t as qt(.975, df) for a two-tailed test at p<.05 you can plug in t and place your limits at +/- of that value. Eg for 100 observations:
t <- qt(.975, 98) t
[1] 1.984467
rlim <- t/sqrt(t^2+100-2) rlim
[1] 0.1965512
rs <- replicate(1000, cor(rnorm(100), rnorm(100))) hist(rs) abline(v=c(-rlim, rlim))
------------------------------------- David L Carlson Department of Anthropology Texas A&M University College Station, TX 77840-4352 -----Original Message----- From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of Jim Lemon Sent: Thursday, November 14, 2013 9:44 PM To: jpm miao Cc: r-help Subject: Re: [R] Find the cutoff correlation value for Pearson correlation test
On 11/15/2013 12:53 PM, jpm miao wrote:
Hi,
I find a few Pearson correlation test functions like
fBasics::correlationTest or stats::cor.test
which give the p-value of the test result. Is there a function
that
calculate the cutoff correlation value for a specific p-value
, e.g., p =
0.05? I have a plot for the cross correlations between two time
series, and I
would like to add a horizontal line that marks the
significance of the
correlations.
Hi Miao, Perhaps you could use the confidence interval. Jim ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.