Question

如何测试两个相关系数是否显着不同 - 在GNU R？

也就是说，如果两个不同人群（子样本）中相同变量（例如年龄和收入）之间的影响不同。

有关背景信息，请参阅How do I compare correlation coefficients of the same variables across different groups和Significance test on the difference of Spearman's correlation coefficient（两者均为CrossValidated）。

Answer 1

如果你想比较多对系数（基于Significance of the difference between two correlation coefficients和Quantitative Analysis and Politics, PDF），这是一个GNU R的现成功能：

cor.diff.test = function(r1, r2, n1, n2, alternative = c("two.sided", "less", "greater")) {

  Z1 = 0.5 * log( (1+r1)/(1-r1) )
  Z2 = 0.5 * log( (1+r2)/(1-r2) )

  diff = Z1 - Z2
  SEdiff = sqrt( 1 / (n1 - 3) + 1 / (n2 - 3))
  diff.Z = diff / SEdiff

  if (alternative == "less") {
    return(pnorm(diff.Z, lower.tail=F))
  } else if (alternative == "greater") {
    return(pnorm(-diff.Z, lower.tail=F))
  } else if (alternative == "two.sided") {
    return(2 * pnorm( abs(diff.Z), lower.tail=F))
  } else {
    warning(paste("Invalid alterantive", alternative), domain=NA)
    return(NA)
  }
}

Answer 2

包cocor提供了测试两个独立或相关相关系数是否显着不同的函数。该软件包还有一个Web界面：http://comparingcorrelations.org

两个相关系数差异的显着性检验

2 个答案: