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python calculate confidence interval for pearsons correlation

Charles-Alexandre Roy answered on June 2, 2023 Popularity 1/10 Helpfulness 8/10

answer python calculate confidence interval for pearsons correlation

python calculate confidence interval for pearsons correlation

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# Example usage:
# Here is a function I wrote (adapted from the source) which does this:
import numpy as np
import scipy.stats as st

def get_correlation_confidence_interval(correl_coeff, sample_size, confidence):
    """
    Description: Function to calculate the confidence interval for a given
    			 correlation score and sample size. Adapted from:
                 https://www.statskingdom.com/correlation-confidence-interval-calculator.html
    Inputs: correl_coeff, a Pearson correlation coefficient: [-1, 1]
            sample_size, the number of values that were used in the correlation
            confidence, the desired confidence for the interval. E.g., 95
                means that you want the interval that contains the true
                correlation with 95% confidence.
    Outputs: (lower, upper), a tuple of floats which are the lower and upper
    			bounds of the confidence interval, rounded to 4 decimals, e.g.:
                (0.9456, 0.9678)
    """
    # Transform correlation to z scale using the Fisher transformation
    z = np.log((1 + correl_coeff) / (1 - correl_coeff)) / 2
    # Calculate the standard error of the transformed correlation
    standard_err = 1 / np.sqrt(sample_size - 3)
    # Obtain the z statistic for the desired confidence level
    z_stat = st.norm.ppf(1 - ((1 - (confidence * 0.01)) * 0.5))
    # Get the upper and lower bounds of the interval in z space
    lower_z = z - z_stat * standard_err
    upper_z = z + z_stat * standard_err
    # Transform the upper and lower bounds back to correlation scale and limit
    # them to 4 decimals
    lower = format(round((e**(2 * lower_z) - 1) / (e**(2 * lower_z) + 1), 4), '.4f')
    upper = format(round((e**(2 * upper_z) - 1) / (e**(2 * upper_z) + 1), 4), '.4f')
    return (lower, upper)

Popularity 1/10 Helpfulness 8/10 Language python

Source: www.statskingdom.com

Tags: confidence-interval correlation python

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Contributed on Jun 02 2023

Charles-Alexandre Roy

0 Answers Avg Quality 2/10

python calculate confidence interval for pearsons correlation

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