P-values are often used in hypothesis tests to determine whether you reject or fail to reject the null hypothesis.
For Pearson's correlation coefficient:
H0: ρ = 0 versus H1: ρ ≠ 0 where ρ is the correlation coefficient between a pair of variables.
A small p-value is an indication that the null hypothesis is false. You can conclude that the correlation coefficient is different from zero and that a linear relationship exists. It is common to reject the null hypothesis if the p-value is smaller than 0.05.
The p-value for Pearson's correlation coefficient uses the t-distribution.
The p-value is 2 × P(T > t) where T follows a t distribution with n – 2 degrees of freedom.
|n||number of observations|