Linked Questions

23 votes
2 answers
20k views

Is Correlation Transitive? [duplicate]

Suppose that X, Y, and Z are random variables. X and Y are positively correlated and Y and Z are likewise positively correlated. Does it follow that X and Z must be positively correlated?
Pankaj Sharma's user avatar
0 votes
1 answer
823 views

How to find unknown correlation coefficients in a correlation matrix from known correlation coefficients? [duplicate]

I have a correlation matrix A given below. Here A should be a positive-definite matrix so that we can perform Cholesky decomposition of A. ...
Jameesh Hussain's user avatar
0 votes
0 answers
147 views

correlation coefficient bivariate normally distributed [duplicate]

Suppose that X,Y and X,Z are bivariate normally distributed. We have $E(X)=0, Var(X)=10$, $E(Y)=0, Var(Y)=6$ and $ρ_{xy}=0.87$ Moreover, $E(X)=0, Var(X)=10$, $E(Z)=0, Var(Z)=4$ and $ρ_{xz}=0.87$ ...
Andrea Mazzolari's user avatar
0 votes
0 answers
41 views

Is it possible for a set of random variables to each be highly correlated with another variable, but not highly correlated with each other? [duplicate]

Let $X_1, ..., X_n$ and $Y$ be random variables. Is it possible for the $X_i$'s to all have a high magnitude of correlation (absolute value of Pearson's $r$) but not be strongly correlated with each ...
eagle34's user avatar
  • 193
6 votes
3 answers
3k views

Given an adjacency matrix, how can we fit a covariance matrix based on that for a graph without running into a NON-positive definite matrix?

Suppose that I generate a k-regular graph like the following: game <- sample_k_regular(k, r) game <- as.matrix(as_adj(game)) Then, based on this adjacency ...
user321627's user avatar
  • 4,448
1 vote
1 answer
2k views

Generate three pairwise correlated random variables

I need to simulate three variables $A,B,P$ ~ $N(0,1)$ such that the Pearson correlations $r_{AB}=\operatorname{cor} (A,B)$ and $r_{BP}=\operatorname{cor}(B,P)$ are given. I need to repeat the ...
jeiroje's user avatar
  • 41
0 votes
2 answers
464 views

A and B are have a significant correlation. B and C have a significant correlation. Can A and C still not correlate significantly? [duplicate]

I have a dataset where I test for correlation and then if the correlation is significant. And basically my results are A correlates with B significantly and B correlates with C significantly, but A ...
Baran Calisci's user avatar
0 votes
0 answers
535 views

Use X1 to predict Y, the correlation is 0.1, use X2 the correlation is 0.2, what is the range of correlation if combine X1 and X2

For linear regression, if use X1 alone to predict Y, the correlation is 0.1, use X2 the correlation is 0.2, what is the range of correlation if combine X1 and X2. Assume that X1 and X2 are independent....
qwerty1010's user avatar
1 vote
0 answers
474 views

Pearson and R^2 Correlation between three variables

Get it from someone else but don't quite know how to answer. If $\rho_{X,Z}=0.4$, $\rho_{Y,Z}=0.3$, what is the range of $\rho_{X,Y}$? Here $\rho$ is the Pearson correlation coefficient. We run a ...
YZhang's user avatar
  • 11
0 votes
2 answers
220 views

Given 3 variable possible correlation relations

Let's say cor(A,B) > 0 and cor(B,C)>0. What can we say about cor(A,C)? So, I am ...
pseudo_teetotaler's user avatar
1 vote
0 answers
106 views

Given two correlations in a 3 by 3 correlation matrix, what are allowed values for the third correlation? [duplicate]

For a random number experiment, I want to simulate from a trivariate Normal distribution with correlation matrix. $\left(\begin{matrix}1&a&b\\a&1&c\\b&c&1\end{matrix}\right)\...
sieste's user avatar
  • 113