TableOfReal: To Correlation (rank)

A command that creates a (Spearman rank-order) Correlation object from every selected TableOfReal object. The correlations are calculated between columns.

Algorithm

The Spearman rank-order correlation coefficient rij between the elements of columns i and j is calculated as the linear correlation of the ranks:

rij = Σk (Rki - R̄i) (Rkj - R̄j) / (√ (Σk(Rki - R̄i)2) √ (Σk(Rkj - R̄j)2)),

where Rmn is the rank of element m in column n, and R̄n is the mean of the ranks in column n.


© djmw, December 9, 2015