Correlation Flashcards
1
Q
Covariance
A
If 2 variables are bivariate normally distributed, then the covariance between then is 0, and they are independent.
A non-zero covariance between them means they’re dependent.
This doesn’t test for nonlinear associations, though.
2
Q
Correlation
A
Standardize the covariance to make it scale invariant.
Pearson: linear association between 2 continuous variables
Spearman’s: if data not normally distributed, looks at ranks of x and y
