Derivation of correlation coefficient formula

    • [DOC File]Measures of Correlation

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      The Spearman rank correlation coefficient is defined by (1) where d is the difference in . statistical rank. of corresponding variables, and is an approximation to the exact . correlation coefficient (2) computed from the original data. Because it uses ranks, the Spearman rank correlation coefficient is much easier to compute. The . variance ...

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    • [DOC File]DEPARTMENT OF ECONOMICS

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      Derivation of Slutsky equation and its economic interpretation. Indirect Utility Function and its derivation and properties. Application of Indifference curve analysis. Revealed Preference theory. Topic: 3 . Analysis of Demand. Determinants and properties of an individual demand function. Homogeneity of degree zero in prices and income.

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    • [DOC File]Money & Capital Markets

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      Where ρ (rho) is the correlation coefficient between the two securities. 3. Standard deviation (risk) of a portfolio: 4. Numerical Example. Suppose a portfolio contains two stocks. Stock 1 has an expected rate of return of 12% with a standard deviation of 20%. Stock 2 has an expected rate of return of 8% with a standard deviation of 10%.

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    • [DOC File]Basics of Alpha

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      The coefficient is a kind of correlation with a possible range from 0 to 1.00. Coefficient alpha was such a reliability coefficient. ... He then proposed a formula for estimating the correlation expected from two 40-item tests. ... This assumption of independence enters the derivation of any internal-consistency formula.

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    • [DOC File]STAT 515 -- Chapter 11: Regression

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      Derivation of Formulas forand : Recall that SSres = ... Formula for r (the correlation coefficient between two variables X and Y): Most computer packages will also calculate the correlation coefficient. ... The square of the correlation coefficient is called the coefficient of determination, R2.

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    • [DOC File]4 .edu

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      The data for the standard curve should closely fit a calculated straight line, with the correlation coefficient for this straight line fit being very near to one. ... Calculate FPU by the following formula: Note: Derivation of the FPU Unit. The unit of FPU is based on the International Unit (IU)

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    • [DOC File]Estimating the variance in the normal distribution

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      After simulating X and Z and creating the sum Y, we calculate the correlation coefficient which will become close to the derivation above. let k1 = 0.70 # Wanted corr coefficient. let k2 = 25 # Variance of X. let k3 = (1/(k1**2) - 1)*k2 # Variance of Z. let k4 = sqrt(k2) # Standard deviation of X.

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    • [DOC File]Chapter 20

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      d 44. The numerator in the Pearson product-moment correlation coefficient formula . a. is called the cross-products sum. b. establishes the degree of covariation between two variables. c. can range from –1.0 to +1.0. d. Both a and b. e. Both b and c. e 45.

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    • [DOC File]Minimum Variance Portfolio Weight

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      Correlation Coefficient = ρS,B Portfolio Problem. Use the following two portfolios to answer parts one to four. Portfolio Expected Return Standard Deviation Bond Portfolio 6% 10% Stock 13% 30% If the correlation coefficient (() is -0.40 for these two risky assets, what is the minimum variance portfolio you can construct? (Hint: What percent of ...

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    • [DOC File]Formulas and Relationships from Linear Regression

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      The sample correlation coefficient is defined as . where and . By plugging the formulas of and into the formula for we can easily derive that. The least squares regression line for the data has the form. where. and . Associated with the regression we have some additional “sums of squares”: and

      correlation coefficient formula pdf

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