R help - Feb 2013 - Non linear programming: choose R that minimizes corr(y,x^R)

Hi John,

Do you want to minimize correlation or |correlation|?

Here is a simple code, with example, that shows how to optimize the magnitude
(that is corr^2) of correlation between y and x^p, where p is a positive real
number.  You can modify it to suit your needs.

corxy.opt <- function(x, y, interval=c(0,4), maximum=TRUE){

obj <- function(p, x, y) cor(y, x^p)^2

ans <- optimize(f=obj, interval=interval, maximum=maximum, x=x, y=y)

ans
}

set.seed(321)

x <- runif(100)

y <- rnorm(100, mean=1-2*x, sd=1)

corxy.opt(x, y)

#  Why minimizing does not make sense
obj2 <- function(p, x, y) sapply(p, function(p) cor(y, x^p)^2)

plot(seq(0,5,length=1000), obj2(seq(0,5,length=1000),x,y), type="l")

Best,
Ravi

Ravi Varadhan, Ph.D.
Assistant Professor
The Center on Aging and Health
Division of Geriatric Medicine & Gerontology
Johns Hopkins University
rvaradhan@jhmi.edu<mailto:rvaradhan@jhmi.edu>
410-502-2619


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