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SpearmanRankCorrelation

SpearmanRankCorrelation[xlist, ylist]
gives Spearman's rank correlation coefficient Rho for the real-valued vectors xlist and ylist.
  • Spearman's rank correlation coefficient is a measure of association based on the rank differences between two lists.
  • Spearman's Rho is given by , where n=Length[xlist], ri is the rank difference between xi and yi, Tx is the correction term for ties in xlist, and Ty is the correction term for ties in ylist.
  • The arguments xlist and ylist can be any real-valued vectors of equal length.
Needs["MultivariateStatistics`"]
Spearman's rank correlation for two vectors:
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Click for copyable input
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