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scripts/statistics/base/spearman.m

changeset 10289: 4b124317dc38
parent:93c65f2a5668
author: John W. Eaton <jwe@octave.org>
date: Tue Feb 09 20:58:55 2010 -0500 (66 minutes ago)
permissions: -rw-r--r--
description: base_properties::set_children: account for hidden children 
     1## Copyright (C) 1995, 1996, 1997, 1998, 2000, 2002, 2005, 2006, 2007

     2##               Kurt Hornik

     3##

     4## This file is part of Octave.

     5##

     6## Octave is free software; you can redistribute it and/or modify it

     7## under the terms of the GNU General Public License as published by

     8## the Free Software Foundation; either version 3 of the License, or (at

     9## your option) any later version.

    10##

    11## Octave is distributed in the hope that it will be useful, but

    12## WITHOUT ANY WARRANTY; without even the implied warranty of

    13## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU

    14## General Public License for more details.

    15##

    16## You should have received a copy of the GNU General Public License

    17## along with Octave; see the file COPYING.  If not, see

    18## <http://www.gnu.org/licenses/>.

    19

    20## -*- texinfo -*-

    21## @deftypefn {Function File} {} spearman (@var{x}, @var{y})

    22## Compute Spearman's rank correlation coefficient @var{rho} for each of

    23## the variables specified by the input arguments.

    24##

    25## For matrices, each row is an observation and each column a variable;

    26## vectors are always observations and may be row or column vectors.

    27##

    28## @code{spearman (@var{x})} is equivalent to @code{spearman (@var{x},

    29## @var{x})}.

    30##

    31## For two data vectors @var{x} and @var{y}, Spearman's @var{rho} is the

    32## correlation of the ranks of @var{x} and @var{y}.

    33##

    34## If @var{x} and @var{y} are drawn from independent distributions,

    35## @var{rho} has zero mean and variance @code{1 / (n - 1)}, and is

    36## asymptotically normally distributed.

    37## @end deftypefn

    38

    39## Author: KH <Kurt.Hornik@wu-wien.ac.at>

    40## Description: Spearman's rank correlation rho

    41

    42function rho = spearman (x, y)

    43

    44  if ((nargin < 1) || (nargin > 2))

    45    print_usage ();

    46  endif

    47

    48  if (rows (x) == 1)

    49    x = x';

    50  endif

    51  n = rows (x);

    52

    53  if (nargin == 1)

    54    rho = cor (ranks (x));

    55  else

    56    if (rows (y) == 1)

    57      y = y';

    58    endif

    59    if (rows (y) != n)

    60      error ("spearman: x and y must have the same number of observations");

    61    endif

    62    rho = cor (ranks (x), ranks (y));

    63  endif

    64

    65endfunction