WINSORIZED CORRELATION
Name:
WINSORIZED CORRELATION (LET)
Type:
Purpose:
Compute the Winsorized correlation of a variable.
Description:
The standard correlation estimate can be heavily influenced by extreme
values. The Winsorized correlation compensates for this by setting the
tail values equal to a certain percentile value. For example, for a
90% Winsorized correlation, the bottom 5% of the values are set equal to
the value corresponding to the 5th percentile while the upper 5% of
the values are set equal to the value corresponding to the 95th
percentile. Then the standard correlation formula (HELP CORRELATION
for details) is applied.
Syntax:
LET <par> = WINSORIZED CORRELATION <y1> <y2>
<SUBSET/EXCEPT/FOR qualification>
where <y1> is the first response variable;
<y2> is the second response variable;
<par> is a parameter where the computed Winsorized
correlation is stored;
and where the <SUBSET/EXCEPT/FOR qualification> is optional.
Examples:
LET A = WINSORIZED CORRELATION Y1 Y2
LET A = WINSORIZED CORRELATION Y1 Y2 SUBSET TAG > 2
Note:
The analyst must specify the percentages to Winsorize in each tail.
This is done by defining the internal variables P1 (the lower
tail) and P2 (the upper tail). For example, to Winsorize 10% of
each tail, do the following:
LET P1 = 10
LET P2 = 10
LET A = WINSORIZED CORRELATION Y1 Y2
Note:
Support for the Winsorized correlation has been added to the
following plots and commands:
WINSORIZED CORRELATION PLOT
BOOTSTRAP WINSORIZED CORRELATION PLOT
JACKNIFE WINSORIZED CORRELATION PLOT
CROSS TABULATE WINSORIZED CORRELATION PLOT
WINSORIZED CORRELATION INTERACTION STATISTIC PLOT
In addition, the command
SET CORRELATION TYPE WINSOR
can be used to specify that the command
LET C = CORRELATION MATRIX M
generates Winsorized correlations for a matrix (instead of the
standard correlation coefficient normally generated).
Default:
Synonyms:
Related Commands:
WINSORIZE

= Winsorize a variable.

WINSORIZED STANDARD DEVIATION

= Compute a Winsorized standard deviation.

WINSORIZED MEAN

= Compute a Winsorized mean.

WINSORIZED VARIANCE

= Compute a Winsorized covariance.

WINSORIZED COVARIANCE

= Compute a Winsorized covariance.

VARIANCE

= Compute the variance.

BIWEIGHT MIDCOVARIANCE

= Compute the biweight midcovariance.

Applications:
Implementation Date:
Program:
DIMENSION 20 COLUMNS
SKIP 25
COLUMN LIMITS 20 80
READ AUTO79.DAT Y1 TO Y12
LET A1 = CORRELATION Y1 Y2
LET A2 = WINSORIZED CORRELATION Y1 Y2
Date created: 7/22/2002
Last updated: 4/4/2003
Please email comments on this WWW page to
alan.heckert@nist.gov.
