If $\rho$ is a Pearson correlation coefficient, say between the price of crude oil and gold, what is $1-\rho$?
More specifically, what is the interpretation of $1-\rho$? Would it be the degree of disassociation between two series?
Correlation Coefficient – What is 1-??
correlationregression
Best Answer
Looking for a degree of dissociation, as you stated in the comments, you might want to look at $1-\rho^2$. $\rho^2$ is always between $0$ and $1$ so subtracting it from $1$ will lead to values between $0$ and $1$.
$\rho^2$ is often used in linear regression where it is known as $R^2$