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The Biggest Limitation Of Pearson Correlation Which Many Overlook
...And what to use instead.
Pearson correlation is commonly used to determine the association between two continuous variables.
Many frameworks (in Pandas, for instance) have it as their default correlation metric.
Yet, unknown to many, Pearson correlation:
only measures the linear relationship.
penalizes a non-linear yet monotonic association.
Instead, Spearman correlation is a better alternative.
It assesses monotonicity, which can be linear as well as non-linear.
This is evident from the illustration below:
Pearson and Spearman correlation is the same on linear data.
But Pearson correlation underestimates a non-linear association.
Spearman correlation is also useful when data is ranked or ordinal.
👉 Over to you: What are some other alternatives that address Pearson's limitations?
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