On Sun, Jan 9, 2011 at 8:22 AM, Zanella Marco <[email protected]> wrote: > 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(). >
Try this: > cor(rank(a), rank(b)) [1] 0.6 -- Statistics & Software Consulting GKX Group, GKX Associates Inc. tel: 1-877-GKX-GROUP email: ggrothendieck at gmail.com _______________________________________________ [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.
