How are Spearman p values calculated?

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Nuchto
Nuchto 2014 年 5 月 17 日
編集済み: the cyclist 2021 年 3 月 1 日
The p-values from the corr function (Spearman), how are computed? Is there any refernce paper I could access?

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回答 (1 件)

Star Strider
Star Strider 2014 年 5 月 17 日
Wikipedia has a brief but thorough article that includes a section on Determining Significance of the Spearman Rank Correlation.
  2 件のコメント
Nuchto
Nuchto 2014 年 5 月 17 日
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
Star Strider 2014 年 5 月 17 日
編集済み: the cyclist 2021 年 3 月 1 日
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.
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