Class SpearmansCorrelation

java.lang.Object
org.hipparchus.stat.correlation.SpearmansCorrelation

public class SpearmansCorrelation extends Object
Spearman's rank correlation. This implementation performs a rank transformation on the input data and then computes PearsonsCorrelation on the ranked data.

By default, ranks are computed using NaturalRanking with default strategies for handling NaNs and ties in the data (NaNs maximal, ties averaged). The ranking algorithm can be set using a constructor argument.

  • Constructor Details

  • Method Details

    • getCorrelationMatrix

      public RealMatrix getCorrelationMatrix()
      Calculate the Spearman Rank Correlation Matrix.
      Returns:
      Spearman Rank Correlation Matrix
      Throws:
      NullPointerException - if this instance was created with no data
    • getRankCorrelation

      public PearsonsCorrelation getRankCorrelation()
      Returns a PearsonsCorrelation instance constructed from the ranked input data. That is, new SpearmansCorrelation(matrix).getRankCorrelation() is equivalent to new PearsonsCorrelation(rankTransform(matrix)) where rankTransform(matrix) is the result of applying the configured RankingAlgorithm to each of the columns of matrix.

      Returns null if this instance was created with no data.

      Returns:
      PearsonsCorrelation among ranked column data
    • computeCorrelationMatrix

      public RealMatrix computeCorrelationMatrix(RealMatrix matrix)
      Computes the Spearman's rank correlation matrix for the columns of the input matrix.
      Parameters:
      matrix - matrix with columns representing variables to correlate
      Returns:
      correlation matrix
    • computeCorrelationMatrix

      public RealMatrix computeCorrelationMatrix(double[][] matrix)
      Computes the Spearman's rank correlation matrix for the columns of the input rectangular array. The columns of the array represent values of variables to be correlated.
      Parameters:
      matrix - matrix with columns representing variables to correlate
      Returns:
      correlation matrix
    • correlation

      public double correlation(double[] xArray, double[] yArray)
      Computes the Spearman's rank correlation coefficient between the two arrays.
      Parameters:
      xArray - first data array
      yArray - second data array
      Returns:
      Returns Spearman's rank correlation coefficient for the two arrays
      Throws:
      MathIllegalArgumentException - if the arrays lengths do not match
      MathIllegalArgumentException - if the array length is less than 2