A nonparametric (distribution-free) rank statistic proposed by Spearman in 1904 as a measure of the strength of the associations between two variables (Lehmann and D'Abrera 1998). The Spearman rank correlation coefficient can be used to give an R-Estimate.
The Spearman rank correlation coefficient is defined by
(1) |
(2) |
The Variance, Kurtosis, and higher order Moments are
(3) | |||
(4) | |||
(5) |
See also Correlation Coefficient, Least Squares Fitting, Linear Regression, Rank (Statistics)
References
Press, W. H.; Flannery, B. P.; Teukolsky, S. A.; and Vetterling, W. T.
Numerical Recipes in FORTRAN: The Art of Scientific Computing, 2nd ed. Cambridge, England:
Cambridge University Press, pp. 634-637, 1992.