How are Spearman p values calculated?
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The p-values from the corr function (Spearman), how are computed? Is there any refernce paper I could access?
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Star Strider
on 17 May 2014
Wikipedia has a brief but thorough article that includes a section on Determining Significance of the Spearman Rank Correlation.
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Star Strider
on 17 May 2014
Edited: the cyclist
on 1 Mar 2021
Quoting:
- corr computes p-values for Pearson's correlation using a Student's t distribution for a transformation of the correlation. This correlation is exact when X and Y are normal. corr computes p-values for Kendall's tau and Spearman's rho using either the exact permutation distributions (for small sample sizes), or large-sample approximations.
- corr computes p-values for the two-tailed test by doubling the more significant of the two one-tailed p-values.
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