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marina
2009 May 26
2
(OT) Does pearson correlation assume bivariate normality of the data?
...nition of correlation in Huber
1981, 2004)
- the sample data could come from just about any bivariate
distribution (Wikipedia [2][3] and associated reference)
- the coefficient is (very) not robust to univariate outliers (e.g.,
Huber 1981), and to multivariate outliers (?rrcov::maryo with data
from Marona and Yohai 1998)
2. Assessing whether the correlation is significantly different from
zero (using a statistic following the t distribution):
- the data should come from independent normal distributions (?cor.test)
- at least one of the marginal distributions is normal (Wilcox 2005)
Surprisingly (t...