nag_partial_corr (g02byc) (PDF version)
g02 Chapter Contents
g02 Chapter Introduction
NAG Library Manual

NAG Library Function Document

nag_partial_corr (g02byc)


    1  Purpose
    7  Accuracy

1  Purpose

nag_partial_corr (g02byc) computes a partial correlation/variance-covariance matrix from a correlation or variance-covariance matrix computed by nag_corr_cov (g02bxc).

2  Specification

#include <nag.h>
#include <nagg02.h>
void  nag_partial_corr (Integer m, Integer ny, Integer nx, const Integer sz[], const double r[], Integer tdr, double p[], Integer tdp, NagError *fail)

3  Description

Partial correlation can be used to explore the association between pairs of random variables in the presence of other variables. For three variables, y 1 , y 2  and x 3  the partial correlation coefficient between y 1  and y 2  given x 3  is computed as:
r 12 - r 13 r 23 1 - r 13 2 1 - r 23 2 ,  
where r ij  is the product-moment correlation coefficient between variables with subscripts i  and j . The partial correlation coefficient is a measure of the linear association between y 1  and y 2  having eliminated the effect due to both y 1  and y 2  being linearly associated with x 3 . That is, it is a measure of association between y 1  and y 2  conditional upon fixed values of x 3 . Like the full correlation coefficients the partial correlation coefficient takes a value in the range -1,1  with the value 0 indicating no association.
In general, let a set of variables be partitioned into two groups Y  and X  with n y  variables in Y  and n x  variables in X  and let the variance-covariance matrix of all n y + n x  variables be partitioned into,
Σ xx Σ xy Σ yx Σ yy  
The variance-covariance of Y  conditional on fixed values of the X  variables is given by:
Σ yx = Σ yy - Σ yx Σ xx -1 Σ xy  
The partial correlation matrix is then computed by standardizing Σ yx ,
diag Σ yx - 1 2 Σ yx diag Σ yx - 1 2 .  
To test the hypothesis that a partial correlation is zero under the assumption that the data has an approximately Normal distribution a test similar to the test for the full correlation coefficient can be used. If r  is the computed partial correlation coefficient then the appropriate t  statistic is
r n-n x - 2 1 - r 2  
which has approximately a Student's t -distribution with n-n x - 2  degrees of freedom, where n  is the number of observations from which the full correlation coefficients were computed.

4  References

Krzanowski W J (1990) Principles of Multivariate Analysis Oxford University Press
Morrison D F (1967) Multivariate Statistical Methods McGraw–Hill
Osborn J F (1979) Statistical Exercises in Medical Research Blackwell
Snedecor G W and Cochran W G (1967) Statistical Methods Iowa State University Press

5  Arguments

1:     m IntegerInput
On entry: the number of variables in the variance-covariance/correlation matrix given in r.
Constraint: m3 .
2:     ny IntegerInput
On entry: the number of Y  variables, n y , for which partial correlation coefficients are to be computed.
Constraint: ny2 .
3:     nx IntegerInput
On entry: the number of X  variables, n x , which are to be considered as fixed.
  • nx1 ;
  • ny + nx m .
4:     sz[m] const IntegerInput
On entry: indicates which variables belong to set X  and Y .
sz i < 0
The i th variable is a Y variable, for i=1,2,,m.
sz i > 0
The i th variable is a X  variable.
sz i = 0
The i th variable is not included in the computations.
  • exactly ny elements of sz must be < 0 ,
  • exactly nx elements of sz must be > 0 .
5:     r[m×tdr] const doubleInput
Note: the i,jth element of the matrix R is stored in r[i-1×tdr+j-1].
On entry: the variance-covariance or correlation matrix for the m variables as given by nag_corr_cov (g02bxc). Only the upper triangle need be given.
The matrix must be a full rank variance-covariance or correlation matrix and so be positive definite. This condition is not directly checked by the function.
6:     tdr IntegerInput
On entry: the stride separating matrix column elements in the array r.
Constraint: tdrm .
7:     p[ny×tdp] doubleOutput
Note: the i,jth element of the matrix P is stored in p[i-1×tdp+j-1].
On exit: the strict upper triangle of p contains the strict upper triangular part of the n y  by n y  partial correlation matrix. The lower triangle contains the lower triangle of the n y  by n y  partial variance-covariance matrix if the matrix given in r is a variance-covariance matrix. If the matrix given in r is a correlation matrix then the variance-covariance matrix is for standardized variables.
8:     tdp IntegerInput
On entry: the stride separating matrix column elements in the array p.
Constraint: tdpny .
9:     fail NagError *Input/Output
The NAG error argument (see Section 2.7 in How to Use the NAG Library and its Documentation).

6  Error Indicators and Warnings

On entry, tdp=value  while ny=value . These arguments must satisfy tdpny .
On entry, tdr=value  while m=value . These arguments must satisfy tdrm .
On entry, ny=value , nx=value  and m=value . These arguments must satisfy ny + nx m .
Dynamic memory allocation failed.
On entry, nx=value  and there are not exactly nx values of sz<0 .
On entry, ny=value  and there are not exactly ny values of sz<0 .
Number of values of sz < 0 = value.
Either a diagonal element of the partial variance-covariance matrix is zero and/or a computed partial correlation coefficient is greater than one. Both indicate that the matrix input in r was not positive definite.
On entry, either the variance-covariance matrix or the correlation matrix is not of full rank. Try removing some of the nx variables by setting the appropriate elements of sz to zero.
On entry, m=value.
Constraint: m3.
On entry, nx=value.
Constraint: nx1.
On entry, ny=value.
Constraint: ny2.
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.

7  Accuracy

nag_partial_corr (g02byc) computes the partial variance-covariance matrix, Σ yx , by computing the Cholesky factorization of Σ xx . If Σ xx  is not of full rank the computation will fail.

8  Parallelism and Performance

nag_partial_corr (g02byc) is not threaded in any implementation.

9  Further Comments

Models that represent the linear associations given by partial correlations can be fitted using the multiple regression function nag_regsn_mult_linear (g02dac).

10  Example

Data, given by Osborn (1979), on the number of deaths, smoke mg / m 3  and sulphur dioxide (parts/million) during an intense period of fog is input. The correlations are computed using nag_corr_cov (g02bxc) and the partial correlation between deaths and smoke given sulphur dioxide is computed using nag_partial_corr (g02byc).

10.1  Program Text

Program Text (g02byce.c)

10.2  Program Data

Program Data (g02byce.d)

10.3  Program Results

Program Results (g02byce.r)

nag_partial_corr (g02byc) (PDF version)
g02 Chapter Contents
g02 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2016