Pearson

Definition

The Pearson Correlation Coefficient is a statistical measure that calculates the strength of the linear relationship between two numerical features.

Range of score: -1 to 1

A value of 1 indicates a strong positive relationship between the two features, meaning that if one feature increases, the other also tends to increase. A value of -1 indicates a strong negative relationship, meaning that if one feature increases, the other tends to decrease. A value of 0 indicates no linear relationship between the features.

How it works

The Pearson Correlation Coefficient is calculated by dividing the covariance of the two features by the product of their standard deviations. The covariance measures how much the features change together, while the standard deviation measures the amount of variation in the features. By dividing the covariance by the product of the standard deviations, the Pearson Correlation Coefficient essentially normalises the measure of joint variability to a range of -1 to 1. This calculation assumes that the features are normally distributed and that the relationship between them is linear. If these assumptions are not met, the Pearson Correlation Coefficient may not be a suitable metric.