naginterfaces.library.correg.coeffs_kspearman_miss_case_overwrite¶
- naginterfaces.library.correg.coeffs_kspearman_miss_case_overwrite(x, miss, xmiss, itype)[source]¶
coeffs_kspearman_miss_case_overwrite
computes Kendall and/or Spearman nonparametric rank correlation coefficients for a set of data omitting completely any cases with a missing observation for any variable; the data array is overwritten with the ranks of the observations.For full information please refer to the NAG Library document for g02bp
https://www.nag.com/numeric/nl/nagdoc_29/flhtml/g02/g02bpf.html
- Parameters
- xfloat, ndarray, shape , modified in place
On entry: must be set to , the value of the th observation on the th variable, for , for .
On exit: contains the rank of the observation , for , for . (For those observations containing missing values, and, therefore, excluded from the calculation, , for .)
- missint, array-like, shape
must be set to if a missing value, , is to be specified for the th variable in the array , or set equal to otherwise. Values of must be given for all variables in the array .
- xmissfloat, array-like, shape
must be set to the missing value, , to be associated with the th variable in the array , for those variables for which missing values are specified by means of the array (see Accuracy).
- itypeint
The type of correlation coefficients which are to be calculated.
Only Kendall’s tau coefficients are calculated.
Both Kendall’s tau and Spearman’s coefficients are calculated.
Only Spearman’s coefficients are calculated.
- Returns
- rrfloat, ndarray, shape
The requested correlation coefficients.
If only Kendall’s tau coefficients are requested (), contains Kendall’s tau for the th and th variables.
If only Spearman’s coefficients are requested (), contains Spearman’s rank correlation coefficient for the th and th variables.
If both Kendall’s tau and Spearman’s coefficients are requested (), the upper triangle of contains the Spearman coefficients and the lower triangle the Kendall coefficients.
That is, for the th and th variables, where is less than , contains the Spearman rank correlation coefficient, and contains Kendall’s tau, for , for .
(Diagonal terms, , are unity for all three values of .)
- ncasesint
The number of cases, , actually used in the calculations (when cases involving missing values have been eliminated).
- incaseint, ndarray, shape
holds the value if the th case was included in the calculations, and the value if the th case contained a missing value for at least one variable. That is, (see Notes), for .
- Raises
- NagValueError
- (errno )
On entry, .
Constraint: .
- (errno )
On entry, .
Constraint: .
- (errno )
On entry, .
Constraint: or .
- (errno )
After observations with missing values were omitted, fewer than two cases remained.
- Notes
No equivalent traditional C interface for this routine exists in the NAG Library.
The input data consists of observations for each of variables, given as an array
where is the th observation on the th variable. In addition, each of the variables may optionally have associated with it a value which is to be considered as representing a missing observation for that variable; the missing value for the th variable is denoted by . Missing values need not be specified for all variables.
Let if observation contains a missing value for any of those variables for which missing values have been declared; i.e., if for any for which an has been assigned (see also Accuracy); and otherwise, for .
The quantities calculated are:
Ranks
For a given variable, say, each of the observations for which , for , has associated with it an additional number, the ‘rank’ of the observation, which indicates the magnitude of that observation relative to the magnitudes of the other observations on that same variable for which .
The smallest of these valid observations for variable is assigned the rank , the second smallest observation for variable the rank , the third smallest the rank , and so on until the largest such observation is given the rank , where .
If a number of cases all have the same value for the given variable, , then they are each given an ‘average’ rank, e.g., if in attempting to assign the rank , observations for which were found to have the same value, then instead of giving them the ranks
all observations would be assigned the rank
and the next value in ascending order would be assigned the rank
The process is repeated for each of the variables.
Let be the rank assigned to the observation when the th variable is being ranked. For those observations, , for which , , for .
The actual observations are replaced by the ranks , for , for .
Nonparametric rank correlation coefficients
Kendall’s tau:
where
and
if
if
if
and where is the number of ties of a particular value of variable , and the summation is over all tied values of variable .
Spearman’s:
where
and where is the number of ties of a particular value of variable , and the summation is over all tied values of variable .
- References
Siegel, S, 1956, Non-parametric Statistics for the Behavioral Sciences, McGraw–Hill