Distribution of correlation coefficient between two discrete random variables and their collapsed form

I have two discrete random variables with PMF of the form

\begin{align*} P(X) = \begin{cases} p_0, & \mbox{if } X=0 \\ p_1, & \mbox{if } X=1 \\ p_2, & \mbox{if } X=2 \end{cases} \end{align*} \begin{align*} P(Y) = \begin{cases} q_0, & \mbox{if } Y=0 \\ q_1, & \mbox{if } Y=1 \\ q_2, & \mbox{if } Y=2 \end{cases} \end{align*}

Expectations can be calculated easily, $E(X) = p_1 + 2 p_2$ , $E(Y) = q_1 + 2 q_2$ .

Now, assuming $X$ and $Y$ are independent, define a third RV (collapsed form) as follows:

\begin{align*} Z = \begin{cases} 1, \mbox{if } X+Y>1 \\ 0, \mbox{otherwise} \end{cases} \end{align*}

I am wondering if the correlation coefficients $\rho_{XZ}$ and $\rho_{YZ}$ are determined by the parameters $p_1, \; p_2, \; q_1, \; q_2$, if they are, what is the formula for computing them.

A simulation in R suggests both $r_{XZ}$ and $r_{YZ}$ are distributed quite symmetric around the mean of 0.5 instead of 0 (note these are sample correlation coefficients):

require(foreach)
snp1 = foreach(i=1:5000, .combine='cbind') %do% {
sample(0:2, 1000, replace=T, prob=c(.81, .18, .01))
}
snp2 = foreach(i=1:5000, .combine='cbind') %do% {
sample(0:2, 1000, replace=T, prob=c(.64, .32, .04))
}

collsnp = (snp1 + snp2 > 1) + 0

r1c = foreach(i=1:5000, .combine='c') %do% {
cor(snp1[, i], collsnp[, i])
}
r2c = foreach(i=1:5000, .combine='c') %do% {
cor(snp2[, i], collsnp[, i])
}

hist(r1c)
hist(r2c)


• The correlation coefficients are numbers, not random variables, and therefore do not have distributions. They are properties of the joint distribution of $(X,Y,Z)$. As to your last question: the distribution of $Z$ is determined by a single number, say $\Pr(Z=1)$. This depends on four independent values that determine the distributions of $X$ and $Y$ (say, $p_1, p_2, q_1, q_2$). Therefore you can recover one algebraic relationship among these four parameters from knowledge of $Z$, but that's all. – whuber Aug 28 '13 at 20:10
• Great edit! The analysis you do makes the question clear. Might I suggest you revisit your calculation of $P(XZ)$? I cannot reproduce that result; it seems to assume $X$ and $Z$ are independent in the first place :-). – whuber Aug 29 '13 at 19:55
• Indeed, after reading your comment, I realized that I even assumed $X$ and $Y$ to be independent. But that does not hurt much and might simplify the problem a bit, though the assumption of $X$ and $Z$ being independent might simply be untrue. I will modify the post again. – qed Aug 29 '13 at 20:27

In the face of an apparent paradox, it helps to resort to definitions and first principles. These are applied below to

• Describe the random variables $X,$ $Y,$ and $Z$

• Compute the expectations needed for the correlation coefficient calculation.

• Compute the correlation coefficient itself.

It is all simple and straightforward--precisely those characteristics of small problems like this that help illuminate basic concepts and procedures which otherwise may be so tricky and counterintuitive.

By definition, a random variable (such as $X$, $Y$, or $Z$) is a real-valued measurable function of a probability space $(\Omega, \mathfrak{S}, p)$. In more colloquial language (as explained at What is meant by a "random variable"?), $\Omega$ is a box, its elements $\omega \in \Omega$ are tickets (slips of paper), $\mathfrak S$ stipulates what events can be given probabilities, and $p$ tells us the proportions of each kind of ticket in the box. A "measurable function" merely is a consistent way of writing numbers on the tickets.

Because the setting involves two distinct random variables $(X,Y)$ we begin by writing these values on the tickets. There are $3\times 3 = 9$ possibilities, small enough to tabulate:

$$\begin{array}{ccccccc} X & Y & Z & XZ & X^2 & Z^2 & p\\ 0 & 0 & 0 & 0 & 0 & 0 & p_0 q_0 \\ 0 & 1 & 0 & 0 & 0 & 0 & p_0 q_1 \\ 0 & 2 & 1 & 0 & 0 & 1 & p_0 q_2 \\ 1 & 0 & 0 & 0 & 1 & 0 & p_1 q_0 \\ 1 & 1 & 1 & 1 & 1 & 1 & p_1 q_1 \\ 1 & 2 & 1 & 1 & 1 & 1 & p_1 q_2 \\ 2 & 0 & 1 & 2 & 4 & 1 & p_2 q_0 \\ 2 & 1 & 1 & 2 & 4 & 1 & p_2 q_1 \\ 2 & 2 & 1 & 2 & 4 & 1 & p_2 q_2 \\ \end{array}$$

Each row (beneath the header) gives information about one kind of the nine tickets. The $X$ column shows the value of $X$ written on each ticket and the $Y$ column shows the value of $Y$. The rest is deduced from the information given:

• $Z$ is computed according to its definition in terms of $X$ and $Y$.

• $XZ$ is the product of $X$ and $Z$.

• $X^2$ and $Z^2$ are the squares of $X$ and $Z$, respectively.

Those latter three columns were computed in anticipation they would be needed for calculating the correlation coefficient of $X$ and $Z$. The final column, $p$, computes the proportions of each kind of ticket assuming $X$ and $Y$ are independent. This means the proportion of tickets where $(X,Y) = (i,j)$ is the product of the probabilities $\Pr(X=i) = p_i$ and $\Pr(Y=j) = q_j$.

By definition, the expectation of a random variable is its average in the box, weighted according to the proportions. Thus the six expectations (simplified using the axiom of total probability $p_0+p_1+p_2=1=q_0+q_1+q_2$ to eliminate $p_0$ and $q_0$) are

\eqalign{ \mathbb{E}[X] &= p_1 q_0+2 p_2 q_0+p_1 q_1+2 p_2 q_1+p_1 q_2+2 p_2 q_2 & = p_1 + 2p_2 \\ \mathbb{E}[Y] &=p_1 q_0+2 p_2 q_0+p_1 q_1+2 p_2 q_1+p_1 q_2+2 p_2 q_2 & = q_1 + 2q_2 \\ \mathbb{E}[Z] &=p_1 q_0+p_2 q_0+p_1 q_1+p_2 q_1+p_1 q_2+p_2 q_2 &= p_1 q_1-p_2 \left(q_2-1\right)+q_2 \\ \mathbb{E}[XZ] &=p_1 q_0+2 p_2 q_0+p_1 q_1+2 p_2 q_1+p_1 q_2+2 p_2 q_2 &= p_1 \left(q_1+q_2\right)+2 p_2 \\ \mathbb{E}[X^2] &=p_1 q_0+4 p_2 q_0+p_1 q_1+4 p_2 q_1+p_1 q_2+4 p_2 q_2&= p_1+4 p_2 \\ \mathbb{E}[Z^2] &=p_1 q_0+p_2 q_0+p_1 q_1+p_2 q_1+p_1 q_2+p_2 q_2 &= p_1 q_1-p_2 \left(q_2-1\right)+q_2. }

The correlation coefficient is defined as

$$\rho_{X,Z} = \frac{\mathbb{E}[XZ] - \mathbb{E}[X]\mathbb{E}[Z]}{\sqrt{\mathbb{E}[X^2] - \mathbb{E}[X]^2}\sqrt{\mathbb{E}[Z^2] - \mathbb{E}[Z]^2}}.$$

The rest is arithmetic (shown below for completeness).

Plugging in the preceding values produces

$$\frac{-\left(p_1+2 p_2\right) \left(p_2 \left(-\left(q_2-1\right)\right)+p_1 q_1+q_2\right)+p_1 \left(q_1+q_2\right)+2 p_2}{\sqrt{\left(-\left(p_1+2 p_2\right){}^2+p_1+4 p_2\right) \left(-\left(p_2 \left(-\left(q_2-1\right)\right)+p_1 q_1+q_2\right){}^2-p_2 \left(q_2-1\right)+p_1 q_1+q_2\right)}}$$

for the correlation coefficient. It can range anywhere from $0$ (approached in the limit as $p_1=p_2=1/2$ and $q_1=q_2=1/2-e^2$ for which it equals $\frac{e}{\sqrt{1-e^2}} \to 0$ as $e\to 0$) through $1$ (set $p_1=0, p_2=1/2, q_1=0, q_2=0$ for instance). Setting (as in the code of the question) $p_1 =q_1= 0.18, p_2 =q_2= 0.01$ gives $\rho_{X,Z} = 0.46308$ and $p_1= q_1 = 0.32, p_2=q_2 = 0.04$ gives $\rho_{X,Z} = 0.564433.$

• I think it's $p_1 = 0.18, \; p_2 = 0.01$ and $q_1 = 0.32, \; q_2 = 0.04$. – qed Aug 30 '13 at 17:18