StatsSpearmanRhoCDF

StatsSpearmanRhoCDF (r, N)

The StatsSpearmanRhoCDF function returns the cumulative distribution function for Spearman's ρ, which is used in rank correlation test. It is valid for N>1 and -1<=r <= 1. The distribution is mostly computed using the Edgeworth series expansion.

References

Algorithm AS 89, Appl. Statist., 24, 377, 1975.

van de Wiel, M.A., and A. Di Bucchianico, Fast computation of the exact null distribution of Spearman's rho and Page's L statistic for samples with and without ties, J. of Stat. Plan. and Inference, 92, 133-145, 2001..

See Also

Statistical Analysis, StatsRankCorrelationTest, StatsInvSpearmanCDF, StatsKendallTauTest