g02byc computes a partial correlation/variance-covariance matrix from a correlation or variance-covariance matrix computed by
g02bxc.
Partial correlation can be used to explore the association between pairs of random variables in the presence of other variables. For three variables,
,
and
the partial correlation coefficient between
and
given
is computed as:
where
is the product-moment correlation coefficient between variables with subscripts
and
. The partial correlation coefficient is a measure of the linear association between
and
having eliminated the effect due to both
and
being linearly associated with
. That is, it is a measure of association between
and
conditional upon fixed values of
. Like the full correlation coefficients the partial correlation coefficient takes a value in the range
with the value 0 indicating no association.
In general, let a set of variables be partitioned into two groups
and
with
variables in
and
variables in
and let the variance-covariance matrix of all
variables be partitioned into,
The variance-covariance of
conditional on fixed values of the
variables is given by:
The partial correlation matrix is then computed by standardizing
,
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
is the computed partial correlation coefficient then the appropriate
statistic is
which has approximately a Student's
-distribution with
degrees of freedom, where
is the number of observations from which the full correlation coefficients were computed.
Background information to multithreading can be found in the
Multithreading documentation.
Models that represent the linear associations given by partial correlations can be fitted using the multiple regression function
g02dac.
Data, given by
Osborn (1979), on the number of deaths, smoke
and sulphur dioxide (parts/million) during an intense period of fog is input. The correlations are computed using
g02bxc and the partial correlation between deaths and smoke given sulphur dioxide is computed using
g02byc.