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Function File: spearman (x)

Function File: spearman (x, y)

Compute Spearman’s rank correlation coefficient rho.

For two data vectors x and y, Spearman’s rho is the correlation coefficient 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.

spearman (x) is equivalent to spearman (x, x).

See also: ranks, kendall.

Package: octave