## Copyright (C) 1995, 1996, 1997 Kurt Hornik ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 2, or (at your option) ## any later version. ## ## This program is distributed in the hope that it will be useful, but ## WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU ## General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this file. If not, write to the Free Software Foundation, ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. ## usage: spearman (x [, y]) ## ## Computes Spearman's rank correlation coefficient rho for each of the ## variables specified by the input arguments. ## ## For matrices, each row is an observation and each column a variable; ## vectors are always observations and may be row or column vectors. ## ## spearman (x) is equivalent to spearman (x, x). ## ## For two data vectors x and y, Spearman's rho is the correlation of ## the ranks of x and y. ## ## If x and y are drawn from independent distributions, rho has zero ## mean and variance 1 / (n - 1), and is asymptotically normally ## distributed. ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> ## Description: Spearman's rank correlation rho function rho = spearman (x, y) if ((nargin < 1) || (nargin > 2)) usage ("spearman (x [, y])"); endif if (rows (x) == 1) x = x'; endif n = rows (x); if (nargin == 1) rho = cor (ranks (x)); else if (rows (y) == 1) y = y'; endif if (rows (y) != n) error (["spearman: ", ... "x and y must have the same number of observations"]); endif rho = cor (ranks (x), ranks (y)); endif endfunction

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