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That is because Spearman's ρ limits the outlier to the value of its rank. In statistics, Spearman's rank correlation coefficient or Spearman's ρ, named after Charles Spearman [1] and often denoted by the Greek letter (rho) or as , is a nonparametric measure of rank correlation (statistical dependence between the rankings of two variables).
A rank correlation coefficient measures the degree of similarity between two rankings, and can be used to assess the significance of the relation between them. For example, two common nonparametric methods of significance that use rank correlation are the Mann–Whitney U test and the Wilcoxon signed-rank test .
A correlation coefficient is a numerical measure of some type of linear correlation, meaning a statistical relationship between two variables. [ a ] The variables may be two columns of a given data set of observations, often called a sample , or two components of a multivariate random variable with a known distribution .
Other correlation coefficients – such as Spearman's rank correlation coefficient – have been developed to be more robust than Pearson's, that is, more sensitive to nonlinear relationships. [1] [2] [3] Mutual information can also be applied to measure dependence between two variables.
Pearson's correlation coefficient is the covariance of the two variables divided by the product of their standard deviations. The form of the definition involves a "product moment", that is, the mean (the first moment about the origin) of the product of the mean-adjusted random variables; hence the modifier product-moment in the name.
In statistics, ranking is the data transformation in which numerical or ordinal values are replaced by their rank when the data are sorted.. For example, if the numerical data 3.4, 5.1, 2.6, 7.3 are observed, the ranks of these data items would be 2, 3, 1 and 4 respectively.
Spearman's rank correlation coefficient: measures statistical dependence between two variables using a monotonic function. Squared ranks test: tests equality of variances in two or more samples. Tukey–Duckworth test: tests equality of two distributions by using ranks.
"In statistics, Spearman's rank correlation coefficient or Spearman's rho, named after Charles Spearman and often denoted by the Greek letter ρ (rho) or as rs, is a non-parametric measure of statistical dependence between two variables. It assesses how well the relationship between two variables can be described using a monotonic function.