How are Spearman p values calculated?

The p-values from the corr function (Spearman), how are computed? Is there any refernce paper I could access?

Answer 1

[Star Strider]

Wikipedia has a brief but thorough article that includes a section on Determining Significance of the Spearman Rank Correlation.

[Nuchto]

Thanks, I know this, only would like to know which of these methods is the one implemented in Matlab for determining the significance.

[Star Strider]

That documentation is at the end of the corr documentation page.

Quoting:

• corr computes p-values for Pearson's correlation using a Student's t distribution for a transformation of the correlation. This correlation is exact when X and Y are normal. corr computes p-values for Kendall's tau and Spearman's rho using either the exact permutation distributions (for small sample sizes), or large-sample approximations.
• corr computes p-values for the two-tailed test by doubling the more significant of the two one-tailed p-values.

Is that what you’re looking for?