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Correlation Coefficient

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Definition of Correlation Coefficient

Correlation Coefficient Image 1

Correlation Coefficient

A measure of the tendency of two variables to change values
together


Correlation coefficient

A standardized statistical measure of the dependence of two random variables,
defined as the covariance divided by the standard deviations of two variables.


Correlation coefficient

A statistic in which the covariance is scaled to a
value between minus one (perfect negative correlation) and plus one (perfect
positive correlation).



Related Terms:

coefficient of correlation

a measure of dispersion that indicates the degree of relative association existing between two variables


Correlation

See: correlation coefficient.


R squared (R^2)

Square of the correlation coefficient proportion of the variability explained by the linear
regression model. For example, an r squared of 75% means that 75% of the variability observed in the
dependent variable is explained by the independent variable.



R squared (R^2)

Square of the correlation coefficientthe proportion of the variability in one series that can be
explained by the variability of one or more other series.


Autocorrelation

The correlation of a variable with itself over successive time intervals.


Correlation Coefficient Image 2

Beta coefficient

A measurement of the extent to which the returns on a given stock move with stock market.


Coefficient of determination

A measure of the goodness of fit of the relationship between the dependent and
independent variables in a regression analysis; for instance, the percentage of variation in the return of an
asset explained by the market portfolio return.


coefficient of determination

a measure of dispersion that
indicates the “goodness of fit” of the actual observations
to the least squares regression line; indicates what proportion
of the total variation in y is explained by the regression model


coefficient of variation

a measure of risk used when the standard deviations for multiple projects are approximately
the same but the expected values are significantly different


Correlation

The simultaneous change in value of two random numeric variables.


correlation analysis

an analytical technique that uses statistical
measures of dispersion to reveal the strength of the
relationship between variables


Information Coefficient (IC)

The correlation between predicted and actual stock returns, sometimes used to
measure the value of a financial analyst. An IC of 1.0 indicates a perfect linear relationship between predicted
and actual returns, while an IC of 0.0 indicates no linear relationship.


input-output coefficient

a number (prefaced as a multiplier
to an unknown variable) that indicates the rate at which each
decision variable uses up (or depletes) the scarce resource



 

 

 

 

 

 

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