MultivariateStatistics`

SpearmanRankCorrelation

As of Version 9.0, SpearmanRankCorrelation has been renamed to SpearmanRho and is part of the built-in Wolfram Language kernel.

SpearmanRankCorrelation[xlist,ylist]

gives Spearman's rank correlation coefficient for the real‐valued vectors xlist and ylist.

Details and Options

To use SpearmanRankCorrelation, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].
Spearman's rank correlation coefficient is a measure of association based on the rank differences between two lists.
Spearman's is given by , where n=Length[xlist], is the rank difference between and , is the correction term for ties in xlist, and is the correction term for ties in ylist.
The arguments xlist and ylist can be any real‐valued vectors of equal length.