18.104.22.168 Algorithm (Partial Correlation Coefficient)
Partial correlation coefficient is used to describe the relation between two variables in the presence of controlling variables.
Partial Correlation Coefficient
For a set of random variables Y and controlling variables X, combine two sets of variables X and Y, its variance-covariance matrix can be expressed as:
The variance-covariance matrix of Y variables for controlling variables X is given by:
The partial correlation coefficient matrix is calculated by:
Significance of Partial Correlation Coefficient
A t-Test can be used to test the hypothesis that a partial correlation coefficient is zero.
The degrees of freedom are:
where n is the number of observations in the calculation of the full correlation. For pairwise deletion of missing values, in the calculation of partial correlation of two variables given controlling variables X, n is the minimum number of observations in the pairs of and pairs in X.
t Statistic is:
where r is the partial correlation coefficient.
The two-tailed significance level can be calculated as:
- Morrison, D. F. (1976), Multivariate Statistical Methods, Second Edition, New York: McGraw-Hill.
- nag_partial_corr (g02byc)