Correcting Collinearity with Correlation Matrix in R


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This article talks about how we can correct multicollinearity problem with correlation matrix.

In caret package, there is a function called findCorrelation that helps to identify correlated variables.

How it works - 
The absolute values of pair-wise correlations are considered. If some variables have a high correlation, the function looks at the mean absolute correlation of each variable and keeps only the variable with the smallest mean absolute correlation and remove the larger absolute correlation.
Example - Correlation Matrix

X1 X2 X3 X4 X5
X1 1.00 0.95 0.89 0.85 0.10
X2 0.95 1.00 0.85 0.81 0.09
X3 0.89 0.85 1.00 0.78 0.10
X4 0.85 0.81 0.78 1.00 0.09
X5 0.10 0.09 0.10 0.09 1.00

Variables to remove from X1 to X4 cluster - "X1" "X2" "X3" as they have larger mean absolute correlation than X4.

R Code - 

# Identifying numeric variables
numericData <- dat2[sapply(dat2, is.numeric)]
# Calculate correlation matrix
descrCor <- cor(numericData)
# find attributes that are highly corrected
highlyCorrelated <- findCorrelation(descrCor, cutoff=0.7)
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