Why is correlation only defined between two variables? I am an MBA student is taking statistics courses.
Our statistics prof was teaching us about correlations in statistics. We learned about Pearson's Correlation of Coefficient which is defined as the correlation between only two variables.
I am asked the prof if the correlation can be calculated between more than two variables and he said "no". But I am struggling to understand why this is the case?
For example: Hurricanes are correlated with Wind Speed, Hurricanes are also correlated with Temperature - Although I am not a meteorologist don't actually know if this is true (I just assumed this to show a point), we can see that in theory more than two variables can be correlated.
Therefore, why do we only evaluate the correlation between two variables and not more than two variables?


why do we only evaluate the correlation between two variables and not more than two variables?

It can be more than 2 variables. Three point correlation function (3PC) is used in cosmology, The Three-Point Correlation Function in Cosmology. It is formed for variables $x$, $y$ and $z$ with the following approximation with a constant factor of 1,
$$3PC=Corr(x,y,z) = Corr(x,y) \cdot Corr(y,z) + Corr(y,z) \cdot Corr(z,x) + Corr(z,x) \cdot Corr(x,y)\cdot$$
It is cycling over.  This could be extended to N-point correlation function.
