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Formulas: Significance of the Difference between Two Correlations

Significance of the Difference between Two Correlations Formulas

Below you will find descriptions and details for the 3 formulas that are used to compute probability values for the difference between two correlation coefficients.

Error function:
Error function formula
Standard normal distribution cumulative distribution function (CDF):
Standard normal distribution cumulative distribution function (CDF) formula
where erf is the error function.
z-score for the difference between two correlations:
z-score for the difference between two correlations formula
where r1 and r2 are the correlation coefficients for the two samples, and n1 and n2 are the sample sizes associated with the two correlation values.
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