Correlation ratio

In statistics, the correlation ratio is a measure of the curvilinear relationship between the statistical
dispersion within individual categories and the dispersion across the whole population or sample. The
measure is defined as the ratio of two standard deviations representing these types of variation. The context
here is the same as that of the intraclass correlation coefficient, whose value is the square of the correlation
ratio.

Definition
Suppose each observation is yxi where x indicates the category that observation is in and i is the label of the
particular observation. Let nx be the number of observations in category x and

and

where is the mean of the category x and is the mean of the whole population. The correlation ratio η
(eta) is defined as to satisfy

which can be written as

i.e. the weighted variance of the category means divided by the variance of all samples.

If the relationship between values of and values of is linear (which is certainly true when there are
only two possibilities for x) this will give the same result as the square of Pearson's correlation coefficient;
otherwise the correlation ratio will be larger in magnitude. It can therefore be used for judging non-linear
relationships.

Range
The correlation ratio takes values between 0 and 1. The limit represents the special case of no
dispersion among the means of the different categories, while refers to no dispersion within the
respective categories. is undefined when all data points of the complete population take the same value.

Example
Suppose there is a distribution of test scores in three topics (categories):

Algebra: 45, 70, 29, 15 and 21 (5 scores)

 Geometry: 40, 20, 30 and 42 (4 scores)
Statistics: 65, 95, 80, 70, 85 and 73 (6 scores).

Then the subject averages are 36, 33 and 78, with an overall average of 52.

The sums of squares of the differences from the subject averages are 1952 for Algebra, 308 for Geometry
and 600 for Statistics, adding to 2860. The overall sum of squares of the differences from the overall
average is 9640. The difference of 6780 between these is also the weighted sum of the squares of the
differences between the subject averages and the overall average:

This gives

suggesting that most of the overall dispersion is a result of differences between topics, rather than within
topics. Taking the square root gives

For the overall sample dispersion is purely due to dispersion among the categories and not at all due
to dispersion within the individual categories. For quick comprehension simply imagine all Algebra,
Geometry, and Statistics scores being the same respectively, e.g. 5 times 36, 4 times 33, 6 times 78.

The limit refers to the case without dispersion among the categories contributing to the overall
dispersion. The trivial requirement for this extreme is that all category means are the same.

Pearson v. Fisher
The correlation ratio was introduced by Karl Pearson as part of analysis of variance. Ronald Fisher
commented:

"As a descriptive statistic the utility of the correlation ratio is extremely limited. It will be
noticed that the number of degrees of freedom in the numerator of depends on the number
of the arrays" [1]

to which Egon Pearson (Karl's son) responded by saying

 "Again, a long-established method such as the use of the correlation ratio [§45 The
"Correlation Ratio" η] is passed over in a few words without adequate description, which is
perhaps hardly fair to the student who is given no opportunity of judging its scope for
himself."[2]

References
1. Ronald Fisher (1926) "Statistical Methods for Research Workers", ISBN 0-05-002170-2
(excerpt) (http://psychclassics.yorku.ca/Fisher/Methods/chap8.htm)
2. Pearson E.S. (1926) "Review of Statistical Methods for Research Workers (R. A. Fisher)",
"Science Progress", 20, 733-734. (excerpt) (http://www.economics.soton.ac.uk/staff/aldrich/fi
sherguide/esp.htm#esp1)

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