VoseSpearman | Vose Software


See also: Correlation in ModelRisk, VoseSpearmanU, Rank order correlation, The non-parametric Bootstrap




Example model

Estimates the Spearman's rank correlation coefficient of a certain data set using the formula shown below.

  • {known_ys} - a list of observations for the first variable

  • {known_xs} - a list of observations for the second variable

Spearman's rank correlation coefficient (a.k.a. Spearman's rho) is a non-parametric measure of the degree of correspondence between two variables. Like Kendall's tau, Spearman's rank correlation is carried out on the ranks of the data, i.e. what position (rank) the data point takes in an ordered list from the minimum to maximum values, rather than the actual data values themselves.

The sample estimator of Spearman's rho is defined by: