Cover: Spurious Correlation Due to Deflating Variables.

Spurious Correlation Due to Deflating Variables.

Published 1963

by Albert Madansky

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A demonstration that when a homogeneous linear regression of a normally distributed variable Y on two normally distributed variables X and Z is deflated by Z, then when X and Y are uncorrelated the deflated dependent variable Y/Z and independent variable X/Z are either uncorrelated or perfectly correlated. Thus, existing approximations to the covariance of these deflated variables are poor. A new approximation to this covariance is given which has the same defect for normally distributed variables, but which should otherwise be better than existing ones. 12 pp

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