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Lesson 17 of 22 · 13 min

Sample size, p-values and many correlations at once

Whether a correlation counts as significant depends heavily on how many observations you have; with enough data even a tiny correlation passes the test.

In short

  • For a fixed r, more data raises the chance of rejecting in two ways: n−2 \sqrt{n-2} grows, and the critical value shrinks as df rise.
  • So the smallest |r| that is significant falls as n grows; a larger sample gives the test more power.
  • In very large datasets almost every correlation is significant, so significance alone says little about how strong or useful a relationship is.
  • A p-value is the smallest significance level at which H0 H_0 can be rejected: reject when p < α \alpha .
  • With k variables there are k(k−1)/2 k(k-1)/2 distinct correlations, and each is tested separately.

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Sample size, p-values and many correlations at once · Estimation and Hypothesis Testing