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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: difference between "Spearman" and "pwcorr / correlate" |

Date |
Wed, 7 Oct 2009 15:49:16 +0100 |

I think more can be said. 1. I suppose that Stas' implication is that Spearman rank correlation is not a parameter in a model or distribution, but even so I don't see much (informal) difficulty in regarding sample rank correlation as an estimate of population rank correlation. As Roger Newson likes to point out, other rank correlations have clear interpretations as differences between probabilities and inference is also straightforward. 2. Spearman rank correlation may be regarded as a measure of monotonicity of relationship just as Pearson rank correlation is a measure of linearity of relationship. So, they are answers to different questions. 3. Most books on nonparametric statistics carry accounts of rank correlation. I also recommend Harold Jeffreys, "Theory of Probability", Oxford University Press 1961, for a very good non-standard account. (The book title is not an accurate guide to the contents.) 4. Inferences with Spearman rank correlation do depend on mutual independence of observations. 5. Asymptotics are for the birds on the horizon. Nick n.j.cox@durham.ac.uk Stas Kolenikov Inference for Pearson's moment correlation relies on normality of the data. Spearman rank correlation is free of any assumptions, but there is no population characteristic that it estimates, which makes interpretation and asymptotic inference somewhat weird. If one is significant and the other is not, you are making either type I or type II error somewhere. On 10/6/09, Ashwin Ananthakrishnan <ashwinna@yahoo.com> wrote: > In examining the correlation between two variables, what is the difference in utility of the Spearman correlation co-efficient (stata command 'spearman') and the Pearson correlation co-efficient (stata command "pwcorr" or "correlate")? > > Is there a situation where one is more applicable than the other? What does it mean if the correlation is significant with one but not the other? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: difference between "Spearman" and "pwcorr / correlate"***From:*Ashwin Ananthakrishnan <ashwinna@yahoo.com>

**Re: st: difference between "Spearman" and "pwcorr / correlate"***From:*Stas Kolenikov <skolenik@gmail.com>

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