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1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik |
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2 ## |
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3 ## This file is part of Octave. |
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4 ## |
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5 ## Octave is free software; you can redistribute it and/or modify it |
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6 ## under the terms of the GNU General Public License as published by |
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7 ## the Free Software Foundation; either version 2, or (at your option) |
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8 ## any later version. |
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9 ## |
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10 ## Octave is distributed in the hope that it will be useful, but |
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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13 ## General Public License for more details. |
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14 ## |
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15 ## You should have received a copy of the GNU General Public License |
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16 ## along with Octave; see the file COPYING. If not, write to the Free |
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17 ## Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA |
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18 ## 02110-1301, USA. |
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19 |
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20 ## -*- texinfo -*- |
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21 ## @deftypefn {Function File} {} spearman (@var{x}, @var{y}) |
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22 ## Compute Spearman's rank correlation coefficient @var{rho} for each of |
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23 ## the variables specified by the input arguments. |
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24 ## |
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25 ## For matrices, each row is an observation and each column a variable; |
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26 ## vectors are always observations and may be row or column vectors. |
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27 ## |
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28 ## @code{spearman (@var{x})} is equivalent to @code{spearman (@var{x}, |
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29 ## @var{x})}. |
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30 ## |
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31 ## For two data vectors @var{x} and @var{y}, Spearman's @var{rho} is the |
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32 ## correlation of the ranks of @var{x} and @var{y}. |
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33 ## |
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34 ## If @var{x} and @var{y} are drawn from independent distributions, |
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35 ## @var{rho} has zero mean and variance @code{1 / (n - 1)}, and is |
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36 ## asymptotically normally distributed. |
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37 ## @end deftypefn |
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38 |
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39 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> |
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40 ## Description: Spearman's rank correlation rho |
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41 |
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42 function rho = spearman (x, y) |
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43 |
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44 if ((nargin < 1) || (nargin > 2)) |
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45 usage ("spearman (x, y)"); |
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46 endif |
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47 |
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48 if (rows (x) == 1) |
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49 x = x'; |
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50 endif |
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51 n = rows (x); |
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52 |
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53 if (nargin == 1) |
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54 rho = cor (ranks (x)); |
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55 else |
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56 if (rows (y) == 1) |
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57 y = y'; |
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58 endif |
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59 if (rows (y) != n) |
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60 error ("spearman: x and y must have the same number of observations"); |
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61 endif |
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62 rho = cor (ranks (x), ranks (y)); |
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63 endif |
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64 |
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65 endfunction |
