More on Exploring Correlations in R

About a year ago I wrote a post about producing scatterplot matrices in R. These are handy for quickly getting a sense of the correlations that exist in your data. Recently someone asked me to pull out some relevant statistics (correlation coefficient and p-value) into tabular format to publish beside a scatterplot matrix. The built-in cor() function will produce a correlation matrix, but what if you want p-values for those correlation coefficients? Also, instead of a matrix, how might you get these statistics in tabular format (variable i, variable j, r, and p, for each i-j combination)? Here's the code (you'll need the PerformanceAnalytics package to produce the plot).


The cor() function will produce a basic correlation matrix.  12 years ago Bill Venables provided a function on the R help mailing list for replacing the upper triangle of the correlation matrix with the p-values for those correlations (based on the known relationship between t and r). The cor.prob() function will produce this matrix.

Finally, the flattenSquareMatrix() function will "flatten" this matrix to four columns: one column for variable i, one for variable j, one for their correlation, and another for their p-value (thanks to Chris Wallace on StackOverflow for helping out with this one).



Finally, the chart.Correlation() function from the PerformanceAnalytics package produces a very nice scatterplot matrix, with histograms, kernel density overlays, absolute correlations, and significance asterisks (0.05, 0.01, 0.001):