# Bayes factor for equality of correlation coefficients?

Hi,

I’ve recently collected data from two experiments in which I am interested in the correlations between various measures. In some cases I expect there to be a correlation but in other cases I am actually expecting no correlation.

The R code in Wetzels & Wagenmakers (2012)'s paper "A default Bayesian hypothesis test for correlations and partial correlations” has been very helpful in expressing the likelihood that a coefficient does not differ from 0.

**What I would like to show now is that the coefficients from the second experiment are “the same” as the ones from the first experiment.** That is, I’d like to compare a model that assumes that both are identical with a model that allows two parameters and would want to know the relative evidence the data provide for those two models. So basically the Bayesian version of this test: http://vassarstats.net/rdiff.html

I have found this blog post that seems to provide a Bayesian alternative to R's `cor.test()`

function. It has JAGS code and I feel like there should be a way to do what I want to do in JAGS. So I'd look into that if there's no other way. I just wanted to ask here whether there's a more straightforward implementation of this somewhere that I can use?

Any pointers would be appreciated. Thanks!

- Florian

## Comments

Hi Florian,

Note that JASP has a

slightlydifferent implementation of the correlation test than the one described in Wetzels et al. Specifically, JASP uses the original test as proposed by Jeffreys (for an explanation see http://www.ejwagenmakers.com/inpress/JeffreysToPTests.pdf).We have not yet implemented a test between two correlations, but it is in the works. One way is to assume independent priors on both rate parameters; the other way is to assume a prior on the difference (and do a Savage-Dickey test on that difference). This would be facilitated by first transforming the correlation, perhaps using the Fisher z. The trick here is to define a good default prior. But, like I said, we have not done this yet and JASP does not do it.

Cheers,

E.J.

Hi EJ,

thanks for your quick response!

So, could I Fisher-z-transform both correlation coefficients, then subtract them and transform the difference back. Then test whether the difference is different from 0 using either JASP or the R-code from Ruud and your 2012 paper?

Or would that end up testing something different?

Hi Florian,

I don't think it's that simple, unfortunately. Once you have a posterior distribution for the difference in correlation coefficients, you need to "Savage-Dickey" this against a prior on the difference. Note that the scale on the difference between two correlation coefficients is not from -1 to 1, so you can't test it as you would a regular correlation. Of course if you have correlations for every participant individually (based on some repeated measures) then you can use ANOVA (but this is an unlikely scenario).

Cheers,

E.J.

Hi EJ,

unfortunately, this is not a repeated-measures situation.

Thank you for your quick and clear answers! I guess I'll have to wait until JASP includes this feature then.

Take care!

Hi EJ,

I want to quickly revive this thread to ask you another question. I recently asked the same question to someone else and they responded with this:

You can compute Bayes factors, as described in the paper, by comparing any two models.

Lets define two different models:

Similar to the linked paper, we can reframe the correlation test as a linear regression test. Particularly since in your case we only need to compare two vectors at a time so this is equivalent to testing that

`b_xz != b_yz`

. SoAnd then we have an identical setup to the partial correlation test (equation 15) except that the number of regression coefficients is fixed at 1.

so...

Is this a valid approach? I understand the conceptual part of the response and it makes sense to me but am not qualified to judge the modification of your (and Ruud's) function.

Thank you for your time!

I have not thought this through very deeply but I don't think it will work. Specifically, you want to know whether a correlation r1 (for experiment 1) is the same as r2 (for experiment 2). But experiment 1 and 2 provide different data. You have to compare two accounts for the complete data set, one with a single r and one with two r's. This is also the case when you use the regression framework: a single beta for the two sets of data, or two beta's.

E.J.

Hi EJ,

once again, thank you for your straightforward response. I see the difference between your regression framework and the one outlined above and why the latter might be problematic. Damn, I thought I stumbled across a neat solution...

Thanks!

I noticed that this post is from a few years ago...i was curious if there was anything within JASP to do this now

that link is for comparing correlation from the Fishers Z transformation...is there a similar Bayesian test?

We're still working on it, and I am pinging the person responsible every time this comes up :-)

I appreciate your prompt response. I look forward to what you guys have in store for the future.

Hello everyone,

I found this post while looking for a Bayesian test of (in)equality of correlation coefficients. Seems like it's still under construction, so I'm posting this to confirm the interest in it :)

I'm also interested in a Bayesian alternative for Jennrich test, to test differences between two correlation matrices - didn't manage to find anything similar to it anywhere.

Many thanks,

Polina

Ah this is very interesting. I'll forward this to the team member tasked with this project!

E.J.