Spearman Rank Correlation Coefficient
A nonparametric (distribution-free) rank statistic proposed by Spearman in 1904 as a measure of the strength of theassociations between two variables (Lehmann and D'Abrera 1998). The Spearman rank correlation coefficient canbe used to give an R-Estimate.
The Spearman rank correlation coefficient is defined by
 | (1) |
is the difference in Rank of corresponding variables, and is an approximation tothe exact Correlation Coefficient | (2) |
The Variance, Kurtosis, and higher order Moments are
 |  |  | (3) |
 | |  | (4) |
 | |  | (5) |
Student was the first to obtain the Variance.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.
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