[R] Significance of the difference between two correlation coefficients

Norm Matloff matloff at cs.ucdavis.edu
Thu Dec 2 22:46:04 CET 2010

Adaikalavan Ramasamy wrote:

> Using the info from that website, I can code up the following to give
> the two-tailed p-value of difference in correlations:
>   diff.corr <- function( r1, n1, r2, n2 ){
> ...

William Revelle also mentioned the r.test in the psych package.

I would add here that inference on second-order quantities, such as
correlation coefficients and variances, is not robust to the assumption
of a normally-distributed population.  (Inference on first-order
quantities such as means and regression coefficients, IS pretty robust
to that assumption.) A good general alternative is the bootstrap,
implemented in R in the boot package.

Norm Matloff

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