9/29/22, 12:19 PM Spearman's rank correlation coefficient - Wikipedia

Spearman's rank correlation coefficient

In statistics, Spearman's rank correlation
coefficient or Spearman's ρ, named after Charles
Spearman and often denoted by the Greek letter
(rho) or as , is a nonparametric measure of rank
correlation (statistical dependence between the
rankings of two variables). It assesses how well the
relationship between two variables can be described
using a monotonic function.

The Spearman correlation between two variables is

equal to the Pearson correlation between the rank
values of those two variables; while Pearson's
correlation assesses linear relationships, Spearman's
correlation assesses monotonic relationships (whether
linear or not). If there are no repeated data values, a
perfect Spearman correlation of +1 or −1 occurs when A Spearman correlation of 1 results when the two
each of the variables is a perfect monotone function of
variables being compared are monotonically
the other. related, even if their relationship is not linear. This
means that all data points with greater x values
Intuitively, the Spearman correlation between two
than that of a given data point will have greater y
variables will be high when observations have a similar
values as well. In contrast, this does not give a
(or identical for a correlation of 1) rank (i.e. relative
perfect Pearson correlation.
position label of the observations within the variable:
1st, 2nd, 3rd, etc.) between the two variables, and low
when observations have a dissimilar (or fully opposed
for a correlation of −1) rank between the two variables.

Spearman's coefficient is appropriate for both

continuous and discrete ordinal variables.[1][2] Both
Spearman's and Kendall's can be formulated as
special cases of a more general correlation coefficient.

Contents
Definition and calculation
Related quantities
Interpretation
Example When the data are roughly elliptically distributed
and there are no prominent outliers, the
Determining significance
Spearman correlation and Pearson correlation
Correspondence analysis based on Spearman's give similar values.
ρ
Approximating Spearman's ρ from a stream
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Software implementations
See also
References
Further reading
External links

Definition and calculation

The Spearman correlation coefficient is defined as the
Pearson correlation coefficient between the rank
variables.[3]

For a sample of size n, the n raw scores are

converted to ranks , and is computed The Spearman correlation is less sensitive than
the Pearson correlation to strong outliers that are
as
in the tails of both samples. That is because
Spearman's ρ limits the outlier to the value of its
rank.

where

denotes the usual Pearson correlation coefficient, but applied to the rank variables,
is the covariance of the rank variables,
and are the standard deviations of the rank variables.

Only if all n ranks are distinct integers, it can be computed using the popular formula

where

is the difference between the two ranks of each observation,

n is the number of observations.

[Proof]

Consider a bivariate sample with

corresponding ranks .
Then the
Spearman correlation coefficient of is

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where, as usual,
,
,

,
and
,

We shall show that can be expressed purely in terms of

,
provided we assume that there be no ties
within each sample.

Under this assumption, we have that can be viewed as

random variables
distributed like a uniformly distributed
random variable, , on .
Hence

and

,
where

,
and thus

.
(These sums
can be computed using the formulas for the triangular
number and Square pyramidal number,
or basic
summation results from discrete mathematics.)

Observe now that

Putting this all together thus yields

Identical values are usually[4] each assigned fractional ranks equal to the average of their positions in
the ascending order of the values, which is equivalent to averaging over all possible permutations.

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If ties are present in the data set, the simplified formula above yields incorrect results: Only if in both
variables all ranks are distinct, then
(calculated according to biased variance).
The first equation — normalizing by the standard deviation
— may be used even when ranks are normalized to [0,  1] ("relative ranks") because it is insensitive
both to translation and linear scaling.

The simplified method should also not be used in cases where the data set is truncated; that is, when
the Spearman's correlation coefficient is desired for the top X records (whether by pre-change rank or
post-change rank, or both), the user should use the Pearson correlation coefficient formula given
above.[5]

Related quantities
There are several other numerical measures that quantify the extent of statistical dependence between
pairs of observations. The most common of these is the Pearson product-moment correlation
coefficient, which is a similar correlation method to Spearman's rank, that measures the “linear”
relationships between the raw numbers rather than between their ranks.

An alternative name for the Spearman rank correlation is the “grade correlation”;[6] in this, the “rank”
of an observation is replaced by the “grade”. In continuous distributions, the grade of an observation
is, by convention, always one half less than the rank, and hence the grade and rank correlations are
the same in this case. More generally, the “grade” of an observation is proportional to an estimate of
the fraction of a population less than a given value, with the half-observation adjustment at observed
values. Thus this corresponds to one possible treatment of tied ranks. While unusual, the term “grade
correlation” is still in use.[7]

Interpretation
Positive and negative Spearman rank correlations

A positive Spearman correlation coefficient A negative Spearman correlation coefficient

corresponds to an increasing monotonic trend corresponds to a decreasing monotonic trend
between X and Y. between X and Y.

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The sign of the Spearman correlation indicates the direction of association between X (the
independent variable) and Y (the dependent variable). If Y tends to increase when X increases, the
Spearman correlation coefficient is positive. If Y tends to decrease when X increases, the Spearman
correlation coefficient is negative. A Spearman correlation of zero indicates that there is no tendency
for Y to either increase or decrease when X increases. The Spearman correlation increases in
magnitude as X and Y become closer to being perfectly monotone functions of each other. When X
and Y are perfectly monotonically related, the Spearman correlation coefficient becomes 1. A perfectly
monotone increasing relationship implies that for any two pairs of data values Xi, Yi and Xj, Yj, that
Xi − Xj and Yi − Yj always have the same sign. A perfectly monotone decreasing relationship implies
that these differences always have opposite signs.

The Spearman correlation coefficient is often described as being "nonparametric". This can have two
meanings. First, a perfect Spearman correlation results when X and Y are related by any monotonic
function. Contrast this with the Pearson correlation, which only gives a perfect value when X and Y
are related by a linear function. The other sense in which the Spearman correlation is nonparametric
is that its exact sampling distribution can be obtained without requiring knowledge (i.e., knowing the
parameters) of the joint probability distribution of X and Y.

Example
In this example, the arbitrary raw data in the table below is used to calculate the correlation between
the IQ of a person with the number of hours spent in front of TV per week [fictitious values used].

IQ, Hours of TV per week,

106 7
100 27
86 2
101 50
99 28
103 29
97 20
113 12
112 6
110 17

Firstly, evaluate . To do so use the following steps, reflected in the table below.

1. Sort the data by the first column ( ). Create a new column and assign it the ranked values 1,
2, 3, ..., n.
2. Next, sort the data by the second column ( ). Create a fourth column and similarly assign it
the ranked values 1, 2, 3, ..., n.
3. Create a fifth column to hold the differences between the two rank columns ( and ).
4. Create one final column to hold the value of column squared.

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IQ, Hours of TV per week, rank rank

86 2 1 1 0 0
97 20 2 6 −4 16
99 28 3 8 −5 25
100 27 4 7 −3 9
101 50 5 10 −5 25
103 29 6 9 −3 9
106 7 7 3 4 16
110 17 8 5 3 9
112 6 9 2 7 49
113 12 10 4 6 36

With found, add them to find . The value of n is 10. These values can now be
substituted back into the equation

to give

which evaluates to ρ = −29/165 = −0.175757575... with a p-value = 0.627188 (using the t-

distribution).

That the value is close to zero shows that the correlation between
IQ and hours spent watching TV is very low, although the negative
value suggests that the longer the time spent watching television
the lower the IQ. In the case of ties in the original values, this
formula should not be used; instead, the Pearson correlation
coefficient should be calculated on the ranks (where ties are given
ranks, as described above).

Determining significance Chart of the data presented. It can

be seen that there might be a
One approach to test whether an observed value of ρ is negative correlation, but that the
significantly different from zero (r will always maintain −1 ≤ r ≤ 1) relationship does not appear
is to calculate the probability that it would be greater than or definitive.
equal to the observed r, given the null hypothesis, by using a
permutation test. An advantage of this approach is that it
automatically takes into account the number of tied data values in the sample and the way they are
treated in computing the rank correlation.

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Another approach parallels the use of the Fisher transformation in the case of the Pearson product-
moment correlation coefficient. That is, confidence intervals and hypothesis tests relating to the
population value ρ can be carried out using the Fisher transformation:

If F(r) is the Fisher transformation of r, the sample Spearman rank correlation coefficient, and n is
the sample size, then

is a z-score for r, which approximately follows a standard normal distribution under the null
hypothesis of statistical independence (ρ = 0).[8][9]

One can also test for significance using

which is distributed approximately as Student's t-distribution with n − 2 degrees of freedom under

the null hypothesis.[10] A justification for this result relies on a permutation argument.[11]

A generalization 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 it is predicted 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 it is predicted 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[12]
and is usually referred to as Page's trend test for ordered alternatives.

Correspondence analysis based on Spearman's ρ

Classic correspondence analysis is a statistical method that gives a score to every value of two nominal
variables. In this way the Pearson correlation coefficient between them is maximized.

There exists an equivalent of this method, called grade correspondence analysis, which maximizes
Spearman's ρ or Kendall's τ.[13]

Approximating Spearman's ρ from a stream

There are two existing approaches to approximating the Spearman's rank correlation coefficient from
streaming data.[14][15] The first approach[14]
involves coarsening the joint distribution of . For
continuous values: cutpoints are selected for and respectively, discretizing
these
random variables. Default cutpoints are added at and . A count matrix of size
, denoted , is then constructed where stores the number of
observations that
fall into the two-dimensional cell indexed by . For streaming data, when a new
observation arrives, the appropriate element is incremented. The Spearman's rank
correlation

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can then be computed, based on the count matrix , using linear algebra operations (Algorithm
2[14]). Note that for discrete random
variables, no discretization procedure is necessary. This method
is applicable to stationary streaming data as well as large data sets. For non-stationary streaming
data, where the Spearman's rank correlation coefficient may change over time, the same procedure
can be applied, but to a moving window of observations. When using a moving window, memory
requirements grow linearly with chosen window size.

The second approach to approximating the Spearman's rank correlation coefficient from streaming
data involves the use of Hermite series based estimators.[15] These estimators, based on Hermite
polynomials,
allow sequential estimation of the probability density function and cumulative
distribution function in univariate and bivariate cases. Bivariate Hermite series density
estimators
and univariate Hermite series based cumulative distribution function estimators are plugged into a
large sample version of the
Spearman's rank correlation coefficient estimator, to give a sequential
Spearman's correlation estimator. This estimator is phrased in
terms of linear algebra operations for
computational efficiency (equation (8) and algorithm 1 and 2[15]). These algorithms are only
applicable to continuous random variable data, but have
certain advantages over the count matrix
approach in this setting. The first advantage is improved accuracy when applied to large numbers of
observations. The second advantage is that the Spearman's rank correlation coefficient can be
computed on non-stationary streams without relying on a moving window. Instead, the Hermite
series based estimator uses an exponential weighting scheme to track time-varying Spearman's rank
correlation from streaming data,
which has constant memory requirements with respect to "effective"
moving window size.

Software implementations
R's statistics base-package implements the test cor.test(x, y, method = "spearman") (htt
p://stat.ethz.ch/R-manual/R-patched/library/stats/html/cor.test.html) in its "stats" package (also
cor(x, y, method = "spearman") will work.
Stata implementation: spearman varlist calculates all pairwise correlation coefficients for all
variables in varlist.
MATLAB implementation: [r,p] = corr(x,y,'Type','Spearman') where r is the Spearman's
rank correlation coefficient, p is the p-value, and x and y are vectors.[16]
Python. Can be computed with the spearmanr (https://docs.scipy.org/doc/scipy/reference/generat
ed/scipy.stats.spearmanr.html) function of the scipy.stats module.

See also
Kendall tau rank correlation coefficient
Chebyshev's sum inequality, rearrangement inequality (These two articles may shed light on the
mathematical properties of Spearman's ρ.)
Distance correlation
Polychoric correlation

References
1. Scale types.

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2. Lehman, Ann (2005). Jmp For Basic Univariate And Multivariate Statistics: A Step-by-step Guide
(https://archive.org/details/jmpforbasicuniva00leha). Cary, NC: SAS Press. p. 123 (https://archive.
org/details/jmpforbasicuniva00leha/page/n141). ISBN 978-1-59047-576-8.
3. Myers, Jerome L.; Well, Arnold D. (2003). Research Design and Statistical Analysis (https://archiv
e.org/details/researchdesignst00jero_935) (2nd ed.). Lawrence Erlbaum. pp. 508 (https://archive.
org/details/researchdesignst00jero_935/page/n528). ISBN 978-0-8058-4037-7.
4. Dodge, Yadolah (2010). The Concise Encyclopedia of Statistics (https://archive.org/details/concis
eencyclope00ydod). Springer-Verlag New York. p. 502 (https://archive.org/details/conciseencyclop
e00ydod/page/n499). ISBN 978-0-387-31742-7.
5. Al Jaber, Ahmed Odeh; Elayyan, Haifaa Omar (2018). Toward Quality Assurance and Excellence
in Higher Education. River Publishers. p. 284. ISBN 978-87-93609-54-9.
6. Yule, G. U.; Kendall, M. G. (1968) [1950]. An Introduction to the Theory of Statistics (14th ed.).
Charles Griffin & Co. p. 268.
7. Piantadosi, J.; Howlett, P.; Boland, J. (2007). "Matching the grade correlation coefficient using a
copula with maximum disorder" (http://aimsciences.org/journals/pdfs.jsp?paperID=2265&mode=a
bstract). Journal of Industrial and Management Optimization. 3 (2): 305–312.
doi:10.3934/jimo.2007.3.305 (https://doi.org/10.3934%2Fjimo.2007.3.305).
8. Choi, S. C. (1977). "Tests of Equality of Dependent Correlation Coefficients". Biometrika. 64 (3):
645–647. doi:10.1093/biomet/64.3.645 (https://doi.org/10.1093%2Fbiomet%2F64.3.645).
9. Fieller, E. C.; Hartley, H. O.; Pearson, E. S. (1957). "Tests for rank correlation coefficients. I".
Biometrika. 44 (3–4): 470–481. CiteSeerX 10.1.1.474.9634 (https://citeseerx.ist.psu.edu/viewdoc/
summary?doi=10.1.1.474.9634). doi:10.1093/biomet/44.3-4.470 (https://doi.org/10.1093%2Fbiom
et%2F44.3-4.470).
10. Press; Vettering; Teukolsky; Flannery (1992). Numerical Recipes in C: The Art of Scientific
Computing (https://archive.org/details/numericalrecipes00pres_0) (2nd ed.). Cambridge University
Press. p. 640.
11. Kendall, M. G.; Stuart, A. (1973). "Sections 31.19, 31.21". The Advanced Theory of Statistics,
Volume 2: Inference and Relationship (https://archive.org/details/advancedtheoryof0001kend).
Griffin. ISBN 978-0-85264-215-3.
12. Page, E. B. (1963). "Ordered hypotheses for multiple treatments: A significance test for linear
ranks". Journal of the American Statistical Association. 58 (301): 216–230. doi:10.2307/2282965
(https://doi.org/10.2307%2F2282965). JSTOR 2282965 (https://www.jstor.org/stable/2282965).
13. Kowalczyk, T.; Pleszczyńska, E.; Ruland, F., eds. (2004). Grade Models and Methods for Data
Analysis with Applications for the Analysis of Data Populations. Studies in Fuzziness and Soft
Computing. Vol. 151. Berlin Heidelberg New York: Springer Verlag. ISBN 978-3-540-21120-4.
14. Xiao, W. (2019). "Novel Online Algorithms for Nonparametric Correlations with Application to
Analyze Sensor Data". 2019 IEEE International Conference on Big Data (Big Data): 404–412.
doi:10.1109/BigData47090.2019.9006483 (https://doi.org/10.1109%2FBigData47090.2019.90064
83). ISBN 978-1-7281-0858-2. S2CID 211298570 (https://api.semanticscholar.org/CorpusID:2112
98570).
15. Stephanou, Michael; Varughese, Melvin (July 2021). "Sequential estimation of Spearman rank
correlation using Hermite series estimators". Journal of Multivariate Analysis. 186: 104783.
arXiv:2012.06287 (https://arxiv.org/abs/2012.06287). doi:10.1016/j.jmva.2021.104783 (https://doi.
org/10.1016%2Fj.jmva.2021.104783). S2CID 235742634 (https://api.semanticscholar.org/CorpusI
D:235742634).
16. "Linear or rank correlation - MATLAB corr" (https://www.mathworks.com/help/stats/corr.html).
www.mathworks.com.

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Further reading
Corder, G. W. & Foreman, D. I. (2014). Nonparametric Statistics: A Step-by-Step Approach, Wiley.
ISBN 978-1118840313.
Daniel, Wayne W. (1990). "Spearman rank correlation coefficient" (https://books.google.com/book
s?id=0hPvAAAAMAAJ&pg=PA358). Applied Nonparametric Statistics (2nd ed.). Boston: PWS-
Kent. pp. 358–365. ISBN 978-0-534-91976-4.
Spearman C. (1904). "The proof and measurement of association between two things" (http://arch
ive.org/details/proofmeasurement00speauoft). American Journal of Psychology. 15 (1): 72–101.
doi:10.2307/1412159 (https://doi.org/10.2307%2F1412159). JSTOR 1412159 (https://www.jstor.or
g/stable/1412159).
Bonett D. G., Wright, T. A. (2000). "Sample size requirements for Pearson, Kendall, and
Spearman correlations". Psychometrika. 65: 23–28. doi:10.1007/bf02294183 (https://doi.org/10.10
07%2Fbf02294183). S2CID 120558581 (https://api.semanticscholar.org/CorpusID:120558581).
Kendall M. G. (1970). Rank correlation methods (4th ed.). London: Griffin. ISBN 978-0-852-6419-
96. OCLC 136868 (https://www.worldcat.org/oclc/136868).
Hollander M., Wolfe D. A. (1973). Nonparametric statistical methods (https://archive.org/details/no
nparametricsta00holl). New York: Wiley. ISBN 978-0-471-40635-8. OCLC 520735 (https://www.wo
rldcat.org/oclc/520735).
Caruso J. C., Cliff N. (1997). "Empirical size, coverage, and power of confidence intervals for
Spearman's Rho". Educational and Psychological Measurement. 57 (4): 637–654.
doi:10.1177/0013164497057004009 (https://doi.org/10.1177%2F0013164497057004009).
S2CID 120481551 (https://api.semanticscholar.org/CorpusID:120481551).

External links
Table of critical values of ρ for significance with small samples (http://www.sussex.ac.uk/Users/gra
hamh/RM1web/Rhotable.htm)
Spearman’s Rank Correlation Coefficient – Excel Guide (https://www.rgs.org/NR/rdonlyres/4844E
3AB-B36D-4B14-8A20-3A3C28FAC087/0/OASpearmansRankExcelGuidePDF.pdf): sample data
and formulae for Excel, developed by the Royal Geographical Society.

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