Measures of Correlation for Multiple Variables

Abstract: Multivariate correlation analysis plays an important role in various fields such as statistics, economics, and big data analytics. In this paper, we propose a pair of measures, the unsigned correlation coefficient (UCC) and the unsigned incorrelation coefficient (UIC), to measure the strength of correlation and incorrelation (lack of correlation) among multiple variables. The absolute value of Pearson's correlation coefficient is a special case of UCC for two variables. Some important properties of UCC and UIC show that the proposed UCC and UIC are a pair of effective measures for multivariate correlation. We also take the unsigned tri-variate correlation coefficient as an example to visually display the effectiveness of the proposed UCC, and the geometrical explanation of UIC is also discussed. All the properties and the figures of UCC and UIC show that the proposed UCC and UIC are the general measures of correlation for multiple variables.