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Re: Can IDL calculate the confidence level about correlation [message #56882]

Fri, 23 November 2007 17:30

wanglin1981
Messages: 10
Registered: August 2007

Junior Member

On 11月24日, 上午5时02分, Vince Hradil <hrad...@yahoo.com> wrote:
> On Nov 22, 7:51 pm, Lin Wang <wanglin1...@gmail.com> wrote:
>
>> I found a code which can calculate the confidence level using pvalue
>> method (see below). It works well, but usually I use the Student's t-
>> test method. So can anyone help?
>
>> Thanks!
>
>> r=correlate(x,y)
>> var=1/(n-3.0)
>> zvalue = 0.5*alog((1+r)/(1-r))/sqrt(var)
>> if (zvalue lt 0) then pvalue = 2*(gauss_pdf(zvalue)) $
>> else pvalue = 2*(1-gauss_pdf(zvalue))
>
> I think THIS is the way to do it. The t-test is irrelevant.

Vince,

Yes, p-value test can test the significance of correlatioins, but t-
test is also widely used in meteorological studies, even more popular
than p-value test I think.

The probability density fuction for correlation coefficient r is:
f(r)=gama((n-1)/2)*(1-r*r)**(n/2-2)/sqrt(pi)/gama((n-2)/2)

Set r=t/sqrt(n-2)/sqrt(1+t*t/(n-2)), and v=n-2, then

f(r)dr=(after some transformation)=[1/sqrt(v*pi)]*[gama((v+1)/2)/
gama(v/2)]*[(1+t*t/2)**(-(v+1)/2)]*dt
this is the probability density function for t distribution, so the
significance of r can be evaluated by the t-test.

Lin

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[Message index]

		Re: Can IDL calculate the confidence level about correlation By: wanglin1981 on Fri, 23 November 2007 17:30
		Re: Can IDL calculate the confidence level about correlation By: wanglin1981 on Fri, 23 November 2007 17:28
		Re: Can IDL calculate the confidence level about correlation By: Mike[2] on Fri, 23 November 2007 15:25
		Re: Can IDL calculate the confidence level about correlation By: Vince Hradil on Fri, 23 November 2007 13:02
		Re: Can IDL calculate the confidence level about correlation By: yp on Fri, 23 November 2007 04:06
		Re: Can IDL calculate the confidence level about correlation By: wanglin1981 on Thu, 22 November 2007 17:51
		Re: Can IDL calculate the confidence level about correlation By: Brian Larsen on Sat, 24 November 2007 06:25

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