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[project @ 2000-01-13 08:40:00 by jwe]
author jwe
date Thu, 13 Jan 2000 08:40:53 +0000
parents 781c930425fd
children 71d2e09c15a2
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1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik
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2 ##
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3 ## This program is free software; you can redistribute it and/or modify
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4 ## it under the terms of the GNU General Public License as published by
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5 ## the Free Software Foundation; either version 2, or (at your option)
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6 ## any later version.
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7 ##
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8 ## This program is distributed in the hope that it will be useful, but
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9 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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11 ## General Public License for more details.
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12 ##
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13 ## You should have received a copy of the GNU General Public License
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14 ## along with this file. If not, write to the Free Software Foundation,
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15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
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16
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17 ## usage: spearman (x [, y])
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18 ##
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19 ## Computes Spearman's rank correlation coefficient rho for each of the
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20 ## variables specified by the input arguments.
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21 ##
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22 ## For matrices, each row is an observation and each column a variable;
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23 ## vectors are always observations and may be row or column vectors.
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24 ##
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25 ## spearman (x) is equivalent to spearman (x, x).
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26 ##
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27 ## For two data vectors x and y, Spearman's rho is the correlation of
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28 ## the ranks of x and y.
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29 ##
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30 ## If x and y are drawn from independent distributions, rho has zero
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31 ## mean and variance 1 / (n - 1), and is asymptotically normally
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32 ## distributed.
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33
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34 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at>
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35 ## Description: Spearman's rank correlation rho
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36
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37 function rho = spearman (x, y)
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39 if ((nargin < 1) || (nargin > 2))
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40 usage ("spearman (x [, y])");
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41 endif
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42
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43 if (rows (x) == 1)
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44 x = x';
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45 endif
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46 n = rows (x);
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48 if (nargin == 1)
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49 rho = cor (ranks (x));
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50 else
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51 if (rows (y) == 1)
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52 y = y';
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53 endif
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54 if (rows (y) != n)
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55 error (["spearman: ", ...
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56 "x and y must have the same number of observations"]);
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57 endif
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58 rho = cor (ranks (x), ranks (y));
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59 endif
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60
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61 endfunction