Spearman's rank correlation coefficient
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In statistics, Spearman's rank correlation coefficient, named for Charles Spearman and often denoted by the Greek letter ρ (rho), is a non-parametric measure of correlation – that is, it assesses how well an arbitrary monotonic function could describe the relationship between two variables, without making any assumptions about the frequency distribution of the variables. Unlike the Pearson product-moment correlation coefficient, it does not require the assumption that the relationship between the variables is linear, nor does it require the variables to be measured on interval scales; it can be used for variables measured at the ordinal level.
In principle, ρ is simply a special case of the Pearson product-moment coefficient in which the data are converted to ranks before calculating the coefficient. In practice, however, a simpler procedure is normally used to calculate ρ. The raw scores are converted to ranks, and the differences D between the ranks of each observation on the two variables are calculated. ρ is then given by:
- <math> \rho = 1- {\frac {6 \sum D^2}{N(N^2 - 1)}}<math>
where:
- D = the difference between the ranks of corresponding values of X and Y, and
- N = the number of pairs of values.
The formula becomes more complicated in the presence of tied ranks, but unless the tie bands are large, the effect of ignoring them is small.
To test whether an observed value of ρ is significantly different from zero, the observed value can be compared with published tables for various levels of significance. A reference to such a table is given below. For sample sizes above about 20, the variable
- <math>t = \frac{\rho}{\sqrt{(1-\rho^2)/(n-2)}}<math>
has a Student's t-distribution in the null case (zero correlation). In the non-null case (i.e. to test whether an observed ρ is significantly different from a theoretical value, or whether two observed ρs differ significantly) tests are much less powerful, though the t-distribution can again be used.
A generalisation of the Spearman coefficient is useful in the situation where there are three or more conditions, a number of subjects are all observed in each of them, and we predict that the observations will have a particular order. For example, a number of subjects might each be given three trials at the same task, and we predict that performance will improve from trial to trial. A test of the significance of the trend between conditions in this situation was developed by E. B. Page and is usually referred to as Page's trend test for ordered alternatives.
See also
- Chebyshev's sum inequality, rearrangement inequality (These two articles may shed light on the mathematical properties of Spearman's ρ.)
- Pearson product-moment correlation coefficient, a similar correlation method that instead relies on the data being linearly correlated.
External link
- Table of critical values of ρ for significance with small samples (http://www.sussex.ac.uk/Users/grahamh/RM1web/Rhotable.htm)
de:Rangkorrelationskoeffizient it:Coefficiente di correlazione per ranghi di Spearman lv:Spīrmena rangu korelācijas koeficients