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QM-1 Unit 3 Formulae

This document provides formulas for correlation and regression. It defines Karl Pearson's correlation coefficient as the covariance of x and y divided by the product of the standard deviations of x and y. It also provides Spearman's rank correlation coefficient formula. Regression equations are given as y=a+bx for the regression of y on x and x=A+By for x on y. The regression coefficients b and B are defined in terms of the correlation coefficient r. Properties of the regression equations include that the lines pass through the mean values and the signs of the correlation coefficient and regression coefficients are the same.

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327 views3 pages

QM-1 Unit 3 Formulae

This document provides formulas for correlation and regression. It defines Karl Pearson's correlation coefficient as the covariance of x and y divided by the product of the standard deviations of x and y. It also provides Spearman's rank correlation coefficient formula. Regression equations are given as y=a+bx for the regression of y on x and x=A+By for x on y. The regression coefficients b and B are defined in terms of the correlation coefficient r. Properties of the regression equations include that the lines pass through the mean values and the signs of the correlation coefficient and regression coefficients are the same.

Uploaded by

sathvik
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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QM-1 (UM19MB502) - Unit 3; Correlation and Regression – Formulae

QM-1 (UM19MB502) - Unit 3


Correlation and Regression – Formulae

Correlation

Covariance of(x, y) ∑(x − x̅) (y − y̅)


r = =
Karl Pearson’s σx ∗ σy √∑(x − x̅)2 ∗ ∑(y − y̅)2
Correlation Coefficient
Using Covariance of ‘x’ 1
and ‘y’, Standard Covariance of (x, y) = ∑(x − x̅) (y − y̅)
n
deviations of ‘x’ and
‘y’
∑(x − x̅)2 ∑(y − y̅)2
σx = √ ; σy = √
n n

Karl Pearson’s
Correlation Coefficient n ∑ xy − (∑ x)(∑ y)
Using values of series r =
‘x’ and series ‘y’ √n ∑ x 2 − (∑ x)2 ∗ √n ∑ y 2 − (∑ y)2

1|Page Compiled by: Prof. M R Sai Prawin, MBA Dept., PES University
QM-1 (UM19MB502) - Unit 3; Correlation and Regression – Formulae

r = √bxy ∗ byx

∑(x − x̅) (y − y̅) n ∑ xy − (∑ x)(∑ y)


Karl Pearson’s bxy = =
Correlation Coefficient ∑(y − y̅)2 n ∑ y 2 − (∑ y)2
Using Regression
Coefficients ∑(x − x̅) (y − y̅) n ∑ xy − (∑ x)(∑ y)
byx = =
∑(x − x̅)2 n ∑ x 2 − (∑ x)2

bxy and byx are Regression Coefficients of Regression lines ‘x’ on ‘y’
and ‘y’ on ‘x’ respectively.

1 1
6 { ∑ d2 + (m1 3 − m1 ) + (m 3 − m2 ) + ⋯ . }
R =1− 12 12 2
n ∗ (n2 − 1)
Spearman’s Rank 1
Correlation • (mi 3 − mi ) terms should be mentioned the number of
12
times ranks are shared.
• mi (i = 1, 2, 3, … ) represents number of times an observation
is repeated.
• d = Difference in ranks of a pair “Rx - Ry”
Coefficient of Determination 𝐫𝟐
2|Page Compiled by: Prof. M R Sai Prawin, MBA Dept., PES University
QM-1 (UM19MB502) - Unit 3; Correlation and Regression – Formulae

Regression Equations
Regression Line ‘y’ on ‘x' Regression Line ‘x’ on ‘y'
y = a + bx x = A + By

b = byx ; a = y̅ − bx̅ B = bxy ; A = x̅ − By̅

∑(x − x̅) (y − y̅) n ∑ xy − (∑ x)(∑ y) ∑(x − x̅) (y − y̅) n ∑ xy − (∑ x)(∑ y)


byx = = bxy = =
∑(x − x̅)2 n ∑ x 2 − (∑ x)2 ∑(y − y̅)2 n ∑ y 2 − (∑ y)2
σy σx
byx =r bxy = r
σx σy

Properties of Regression Equations


1. ̅ , y̅).
Both the regression lines passes through their common intersection point (x
If two regression equations x on y and y on x are, a1x+b1y+c1 = 0 and a2x+b2y+c2 = 0
respectively, Then

b1 c2 − c1 b2 c1 a2 − a1 c2 a1 b2
x̅ = ; y̅ = ; r = ∓√
a1 b2 − b1 a2 a1 b2 − b1 a2 b1 a2
2. Signs of Correlation Coefficient and both the Regression Coefficients are the same.
3. r 2 = bxy ∗ byx ≤ 1

3|Page Compiled by: Prof. M R Sai Prawin, MBA Dept., PES University

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