March 28, 2005

What is "highly correlated"?

The term "highly correlated" is vague. When are two variables or to datasets considered highly correlated? Correlation is often computed using the product-moment correlation coefficient or, in some circles, Pearson's correlation coefficient. This measure outputs a value between -1 and 1, i.e., negatively correlated to positively correlated. That's fine and good, but what do you call 0.78? Thanks to Savannah State University for giving a citable reference on this issue:

"r" ranging from zero to about .20 may be regarded as indicating no or negligible correlation.
"r" ranging from about .20 to .40 may be regarded as indicating a low degree of correlation.
"r" ranging from about .40 to .60 may be regarded as indicating a moderate degree of correlation.
"r" ranging from about .60 to .80 may be regarded as indicating a marked degree of correlation.
"r" ranging from about .80 to 1.00 may be regarded as indicating high correlation [1].
Pretty arbitrary* huh?

References
[1] A. N. Franzblau, A primer of statistics for non-statisticians. New York,: Harcourt, 1958.

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* It may be arbitrary, but at least I didn't say it!

Posted by torque at March 28, 2005 11:12 AM | TrackBack
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