The distribution of rho…

March 21, 2010
By

(This article was first published on Stats raving mad » R, and kindly contributed to R-bloggers)

There was a post here about obtaining non-standard p-values for testing the correlation coefficient. The R-library

SuppDists

deals with this problem efficiently.

library(SuppDists)

plot(function(x)dPearson(x,N=23,rho=0.7),-1,1,ylim=c(0,10),ylab="density")
plot(function(x)dPearson(x,N=23,rho=0),-1,1,add=TRUE,col="steelblue")
plot(function(x)dPearson(x,N=23,rho=-.2),-1,1,add=TRUE,col="green")
plot(function(x)dPearson(x,N=23,rho=.9),-1,1,add=TRUE,col="red");grid()

legend("topleft", col=c("black","steelblue","red","green"),lty=1,
		legend=c("rho=0.7","rho=0","rho=-.2","rho=.9"))</pre>

This is how it looks like,


Now, let’s construct a table of critical values for some arbitrary or not significance levels.

q=c(.025,.05,.075,.1,.15,.2)
xtabs(qPearson(p=q, N=23, rho = 0, lower.tail = FALSE, log.p = FALSE) ~ q )
# q
#     0.025      0.05     0.075       0.1      0.15       0.2
# 0.4130710 0.3514298 0.3099236 0.2773518 0.2258566 0.1842217

We can calculate p-values as usual too…

1-pPearson(.41307,N=23,rho=0)
# [1] 0.0250003

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