Rank correlation

In statistics, rank correlation is the study of relationships between different rankings on the same set of items. A rank correlation coefficient measures the correspondence between two rankings and assesses its significance.

Correlation coefficients

Two of the more popular rank correlation statistics are

1. Spearman's rank correlation coefficient (Spearman's ρ)
2. Kendall's tau rank correlation coefficient (Kendall's τ)

An increasing rank correlation coefficient implies increasing agreement between rankings. The coefficient is inside the interval [-1,1] and assumes the value:

• -1 if the disagreement between the two rankings is perfect; one ranking is the reverse of the other.
• 0 if the rankings are completely independent.
• 1 if the agreement between the two rankings is perfect; the two rankings are the same.

References

• Everitt , B.S. (2002) The Cambridge Dictionary of Statistics, CUP. ISBN 0-521-81099-x