Dear Sirs, I'm using cor() funcion with Spearman method to analyse correlation of timeseries. As you know Spearman method is based on ranks of timeseries, instead of their value.
Well, what I'm not able to do is to extract the ranks of the timeseries used from cor() to compute the Spearman correlation coefficient (also called rho). For instance if I have this two timeseries > a = c(-0.10, -0.21, -0.35, -0.38, -0.19) > b = c(-0.53, -0.42, -0.59, -0.55, -0.35) I obtain rho in this way > cor(a,b, method="spearman") >[1] 0.6 but how can I obtain ranks for the two timeseries? Of course, the same computed and used by previous cor(). Best, Marco ____________________________________________________________ GET FREE 5GB EMAIL - Check out spam free email with many cool features! Visit http://www.inbox.com/email to find out more! _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
