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As defined here, the estimation of the coefficient of correlation is

$$r = \frac{\Sigma (X_i-E[X])(Y_i-E[Y])}{\sqrt { \Sigma (X_i-E[X])^2 \Sigma (Y_i - E[Y])^2}}$$

and the standard error of $r$ is

$$SE_r = \sqrt{\frac{1-r^2}{n-2}}$$

How was $SE_r$ calculated?

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  • $\begingroup$ I believe that particular formula is based on regression calculations. $\endgroup$ – Glen_b Jun 25 '14 at 9:26
  • $\begingroup$ In particular, see here $\endgroup$ – Glen_b Jun 25 '14 at 9:34

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