[R] test for difference between non-independent correlations

Avril Coghlan avril.coghlan at ucd.ie
Tue Jul 27 14:35:02 CEST 2004


  I am wondering whether there is a way to
test whether two non-independent correlation
coefficients are significantly different, in R?

I have an experimentally measure variable Y,
and two different variables X1, and X2, which
are predictions of Y that were predicted using
two different computational models.

I would like to see whether the correlation
of Y and X1, and Y and X2 is significantly different.
Since Y appears in both correlations
the correlation coefficients will be non-independent.
(so you cannot use a Z test like you would for
comparing independent correlation coefficients, I think).

I have read that there is a test for comparing
non-independent correlation coefficients, by
EJ Williams (1959) and Steiger.
There is also a test called Hotelling's t test.
I'm wondering does anyone know whether I can
somehow carry out any of these using an R package, or compare
non-independent correlations using R by some
other method?

I will greatly appreciate any help,
Avril Coghlan
(University College Dublin, Ireland)

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