# Stats with Python: Sample Correlation Coefficient is Biased

February 24, 2021 | 8 min read | 76 views

Have you ever wondered how much bias the sample correlation coefficient $r$ has with respect to the population correlation coefficient $\rho$? In fact, even if the sample size is about 20, there will be a bias of up to 5%, depending on the value of $\rho$. This post visualizes how large the bias is and shows how to fix it.

## Definition: Pearson’s r

As already discussed in the previous post, **Pearson product-moment correlation coefficient**, or simply **Pearson’s r** of the paired sequences $\{(x_i,y_i)\}_{i=1}^n$ is given as:

where $\bar{x}$ and $\bar{y}$ are the sample means. This is the **sample correlation coefficient**. For a population, the **population correlation coefficient** of the paired random variables $X$ and $Y$ is defined as:

## Pearson’s r For a Sample is Biased!

So, is the sample correlation coefficient $r$ an unbiased estimator of the population correlation coefficient $\rho$? Unfortunately, the answer is no. $r$ is only asymptotically unbiased, so when the sample size is small, you need to care about its bias.

In this post, I assume *the data $X$ and $Y$ follow a bivariate normal distribution* and experiment with unbiased estimators of the correlation coefficient. Then, the exact density function is given as:

where $\Gamma(\cdot)$ is the **gamma function** and $\mathbf{_2F_1}(\cdot,\cdot;\cdot;\cdot)$ is the **Gaussian hypergeometric function**.

From the above scary-looking equation, Olkin et al. [1] derived the unique **minimum variance unbiased estimator** (**MVUE**):

This formula is too complicated, so there is an approximated version:

$r_{adj} = r\Bigl( 1+\frac{1-r^2}{2(n-3)} \Bigr).$How large is the bias of the sample correlation coefficient? How good is the approximation? To answer these questions, I conducted some experiments in the next section.

## Experiment

The code I used for the experiments below is available at Colaboratory.

I obtained correlated sequences and their correlation coefficients in the following way:

- Draw $n$ samples $x_1,\ldots,x_n$ from $\mathcal{N}(0,1)$
- Draw $n$ samples $e_1,\ldots,e_n$ from $\mathcal{N}(0,1)$
- Given $p$ ($0\leq p\leq1$), obtain $n$ samples by $y_i=px_i+(1-p)e_i$
- Compute the biased, the unbiased, and the adjusted correlation coefficients

Here, $p$ determines the correlation between $X$ and $Y$. That is, $X$ and $Y$ have a perfect correlation when $p=1$, and they have a zero correlation when $p=0$. Formally, we have

$\begin{gathered} V[X]=1\\ V[Y] = V[pX+(1-p)E] = p^2 + (1-p)^2 = 2p^2-2p+1\\ Cov[X,Y] = Cov[X,pX+(1-p)E] = p. \end{gathered}$Therefore, the population correlation coefficient $\rho$ is expressed as a function of $p$:

$\rho = \frac{p}{\sqrt{2p^2-2p+1}}.$First, for different values of $\rho$ and $n$ (sample size), I plotted the biased, the unbiased, and the adjusted correlation coefficients to see their bias from the population statistic and their asymptotic behavior. To alleviate the effects of stochastic noise, I took an average over 10,000 trials. For calculating $\mathbf{_2F_1}(\cdot,\cdot;\cdot;\cdot)$, scipy provides `hyp2f1`

function.

```
import numpy as np
import matplotlib.pyplot as plt
import seaborn as sns
import scipy.special as sc
from tqdm.notebook import tqdm
sns.set_style("darkgrid")
def gen_data(p=0.5, n=100, k=10000):
x = np.random.randn(n, k)
e = np.random.randn(n, k)
y = p * x + (1-p) * e
biased = []
unbiased = []
adjusted = []
for i in tqdm(range(3, n+1)):
r_biased = []
r_unbiased = []
r_adjusted = []
for j in range(k):
r = np.corrcoef(x[:i, j], y[:i, j])[0, 1]
r_biased.append(r)
r_unbiased.append(r * sc.hyp2f1(0.5, 0.5, (i-1)/2, 1-r**2))
r = r * (1 + (1 - r**2) / (2 * (i-3)))
r_adjusted.append(r)
biased.append(np.mean(r_biased))
unbiased.append(np.mean(r_unbiased))
adjusted.append(np.mean(r_adjusted))
return biased, unbiased, adjusted
def population_r(p):
return p / (2*p**2 - 2*p + 1)**0.5
ps = [0, 1/3, 2/3, 1]
fig = plt.figure(figsize=(16,6))
for i,p in enumerate(ps):
ax = fig.add_subplot(1, 4, i+1)
biased, unbiased, adjusted = gen_data(p, n=n, k=10000)
rho = population_r(p)
x = np.arange(3, n+1)
ax.plot(x, biased, label="Biased")
ax.plot(x, unbiased, label="Unbiased")
ax.plot(x, adjusted, label="Adjusted")
ax.hlines(rho, x[0], x[-1], label="Ground truth")
if i==1:
ax.set_xlabel("Sample size", fontsize=12)
if i==0:
ax.set_ylabel("Correlation coefficient", fontsize=12)
if i==3:
ax.legend()
ax.set_title(f"rho={rho:.3f}", fontsize=15)
fig.suptitle("Sample correlation coefficient (averaged over 10,000 trials)", fontsize=18)
plt.show()
```

One can observe the following:

- The “biased estimator” is indeed asymptotically unbiased, but the bias remains non-subtle even when $n\sim 50$.
- It looks like neither the “unbiased” estimator nor the “adjusted” estimator is completely unbiased. Still, they are significantly more accurate than the biased estimator.
- The bias depends on $\rho$ as well as $n$. It seems that the smaller $|\rho|$ is, the larger the relative bias is.
- When $\rho=1$ (perfect correlation), $r=r_{mvu}=r_{adj}=\rho=1$.
- When $\rho=0$ (zero correlation), $r\simeq r_{mvu} \simeq r_{adj}$.

To better picture how the bias changes according to $\rho$, let’s think about absolute bias $\rho - r$ for the case where $n=10$. This is untractable due to the hypergeometric term, so I consider the approximated version:

$r_{adj} - r = \frac{1}{2(n-3)}r(1-r^2)$The absolute bias reaches its maximum when $r=1/\sqrt{3}$ (i.e. $\rho \simeq 0.6$) because:

$\begin{aligned} \frac{\partial }{\partial r}(r_{adj} - r) &= 0 \\ \frac{1-3r^2}{2(n-3)} &= 0\\ r &= \pm \frac{1}{\sqrt{3}}. \end{aligned}$The numerical experiment produced the expected result.

In a similar way, the approximated relative bias $(r_{adj} - r)/r_{adj}$ takes its maximum value when $r=0$.

## Conclusion

- The sample correlation coefficient $r$ is
*not*an unbiased estimator of the population correlation coefficient $\rho$. The bias remains untrivial when $n\sim 50$ - For the data that follow a bivariate normal distribution, the exact form of minimum variance unbiased estimator $r_{mvu}$ is known
- The approximated version $r_{adj}$ is accurate enough and far handier
- The smaller $|\rho|$ is, the larger the relative bias of $r$ is

## References

[1] Ingram Olkin, John W. Pratt. ”Unbiased Estimation of Certain Correlation Coefficients“. *Ann. Math. Statist.* 1958.

[2] Pearson correlation coefficient - Wikipedia

Written by **Shion Honda**. If you like this, please share!