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R Data Mining by Andrea Cirillo

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The Pearson correlation coefficient

You have probably already heard about the Pearson coefficient, since it is the most popular measure of correlation, and the most widely applied.

This is probably related to its ease of calculation and interpretation. We compute the Pearson correlation coefficient, as follows:

We find, on the numerator, an index named covariance, between X and Y, which we will cover in a second. On the denominator, we see the product of standard deviations of X and Y. The covariance is in some way a raw Pearson correlation value, meaning that within the formula it is the member intended to express the linear relationship ...

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