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## Copyright (C) 1995, 1996, 1997 Kurt Hornik
##
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this file. If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
## usage: spearman (x [, y])
##
## Computes Spearman's rank correlation coefficient rho for each of the
## variables specified by the input arguments.
##
## For matrices, each row is an observation and each column a variable;
## vectors are always observations and may be row or column vectors.
##
## spearman (x) is equivalent to spearman (x, x).
##
## For two data vectors x and y, Spearman's rho is the correlation 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.
## Author: KH <Kurt.Hornik@ci.tuwien.ac.at>
## Description: Spearman's rank correlation rho
function rho = spearman (x, y)
if ((nargin < 1) || (nargin > 2))
usage ("spearman (x [, y])");
endif
if (rows (x) == 1)
x = x';
endif
n = rows (x);
if (nargin == 1)
rho = cor (ranks (x));
else
if (rows (y) == 1)
y = y';
endif
if (rows (y) != n)
error (["spearman: ", ...
"x and y must have the same number of observations"]);
endif
rho = cor (ranks (x), ranks (y));
endif
endfunction
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