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Test: Correlation Coefficient

A correlation coefficient of zero indicates that there is no linear relationship between two variables. In order to test the significance of a correlation coefficient we can use a test statistic t:

This test statistic is distributed according to a t-distribution. The correlation coefficient is considered to be statistically significant if the computed t value is greater than the critical value of a t-distribution with a level of significance of a.

In order to test the hypothesis whether a calculated correlation coefficient r is different from the population coefficient r, we have to calculate the test statistic z which exhibits a standard normal distribution. r and r are considered not to be from the same population if z is greater than the critical value of a standard normal distribution with a selected level of significance.

(for negative values of r, or r the absolute values have to be taken)

Last Update: 2005-Jul-16