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I have an intuition that correlation tries to find a best fit line and minimizes the distance from points to that line.

I know that regression works by minimizing the squared vertical distance to a best fit line, but this makes regression non-symmetrical (i.e., y~x != x~y), which makes me think that correlation must not be minimizing the distance in the same way.

Alexis
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Jeremy
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    One account that aims at this intuition and explicitly compares correlation to regression is given at https://stats.stackexchange.com/a/71303/919. Regression does acquire the symmetry you seek when you work in the units of measurement natural to the variables: namely, their *standardized* values. – whuber Feb 03 '22 at 18:21
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    @Jeremy One simple and useful connection between regression and correlation (sadly, frequently left unexplored by elementary books) is that that the fitted slope $b$ is the one that makes the correlation between the residuals and $x$ zero, $\text{cor}(y-bx,x)=0$. That is, you choose as your slope estimate the one that leaves no residual correlation. If you use Pearson correlation the fitted slope $b$ is the usual least squares simple regression slope. When you measure correlation with Kendall's tau you get the [Theil-Sen slope](https://en.wikipedia.org/wiki/Theil%E2%80%93Sen_estimator) ...ctd – Glen_b Feb 03 '22 at 23:25
  • ... and so on (not all such slope estimates have common names, though). See stats.stackexchange.com/a/110112/805 for an example that considers several correlation measures. While likely not what you were after, it is a connection worth knowing about. – Glen_b Feb 04 '22 at 08:00

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