How to calculate Pearson R Correlation Coefficient using Python?

by | Feb 9, 2023 | Statistics For Machine Learning

Calculate Correlation Coefficient In Python

In our previous article, we discussed what covariance is and how to calculate the covariance matrix between random variables. We learned that if the covariance between two random variables, X and Y, is positive, then X and Y are positively related. In other words, if we increase the value of X, the value of Y will also increase.

And if the covariance between two random variables X and Y is negative, then X and Y are negatively correlated. In other words, if we increase the value of X, the value of Y will decrease.

If the covariance between two random variables, X and Y, is large, then that usually indicates a strong relationship between X and Y. But statistically, the value of covariance is a little difficult to interpret. So, instead of covariance, we use correlation to measure the relationship between two random variables.

What is the Pearson R correlation coefficient?

The Pearson R correlation coefficient between two random variables, X and Y, indicates the correlation between the two random variables. It is a value between –1 to +1. A positive correlation coefficient means X and Y are positively correlated. In other words, if we increase X, Y will also increase. And a negative correlation coefficient indicates X and Y are negatively correlated. In other words, if we increase X, Y will decrease.

If the value of the correlation coefficient is close to 0, that means X and Y are weakly correlated. And if the absolute value of the correlation coefficient is close to 1, that means X and Y are strongly correlated.

How to calculate the Pearson R correlation coefficient?

The Pearson R correlation coefficient between two random variables, X and Y, is calculated as follows:

Corr(X,Y)=\frac{Cov(X,Y)}{\sqrt{Var(X)\times Var(Y)}}

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Amrita Mitra

Author

Ms. Amrita Mitra is an author, who has authored the books “Cryptography And Public Key Infrastructure“, “Web Application Vulnerabilities And Prevention“, “A Guide To Cyber Security” and “Phishing: Detection, Analysis And Prevention“. She is also the founder of Asigosec Technologies, the company that owns The Security Buddy.

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