ABSTRACT
In probability theory the term correlation is used for a precise aspect (6.2) of the joint distribution of two random variables. For a bivariate sample of data the term correlation is used in connection with several empirical measures that are intended to quantify the association between the two variables. The emphasis in this chapter will be on the empirical counterpart to the correlation defined in probability theory. We concentrate on continuous variables, but it is also meaningful to talk about the correlation between pairs of ordinal random variables, see the definition of the Spearman correlation, page 509, Chapter 12, on nonparametric statistics.
