Program for Spearman’s Rank Correlation

19 Aug, 2021
Prerequisite : Correlation CoefficientGiven two arrays X[] and Y[]. Find Spearman’s Rank Correlation. In Spearman rank correlation instead of working with the data values themselves (as discussed in Correlation coefficient), it work with the ranks of these values. The observations are first ranked and then these ranks are used in correlation. The Algorithm for this correlation is as follows 
Rank each observation in X and store it in Rank_X 
Rank each observation in Y and store it in Rank_Y 
Obtain Pearson Correlation Coefficient for Rank_X and Rank_Y
The formula used to calculate Pearson’s Correlation Coefficient (r or rho) of sets X and Y is as follows: Algorithm for calculating Pearson’s Coefficient of Sets X and Y  
function correlationCoefficient(X, Y)
    n = X.size
    sigma_x = sigma_y = sigma_xy = 0
    sigma_xsq = sigma_ysq = 0
    for i in 0...N-1
        sigma_x = sigma_x + X[i]
        sigma_y = sigma_y + Y[i]
        sigma_xy = sigma_xy + X[i] * Y[i]
        sigma_xsq = sigma_xsq + X[i] * X[i]
        sigma_ysq = sigma_ysq + Y[i] * Y[i]       
    
    num =( n * sigma_xy - sigma_x * sigma_y)
    den = sqrt( [n*sigma_xsq - (sigma_x)^ 2]*[ n*sigma_ysq - (sigma_y) ^ 2] )
    return num/den
While assigning ranks, it may encounter ties i.e two or more observations having the same rank. To resolve ties, this will use fractional ranking scheme. In this scheme, if n observations have the same rank then each observation gets a fractional rank given by: 
fractional_rank = (rank) + (n-1)/2
The next rank that gets assigned is rank + n and not rank + 1. For instance, if the 3 items have same rank r, then each gets fractional_rank as given above. The next rank that can be given to another observation is r + 3. Note that fractional ranks need not be fractions. They are the arithmetic mean of n consecutive ranks ex r, r + 1, r + 2 ... r + n-1. 
(r + r+1 + r+2 + ... + r+n-1) / n = r + (n-1)/2 
Some Examples : 
Input :    X = [15 18 19 20 21]
           Y = [25 26 28 27 29]
Solution : Rank_X = [1 2 3 4 5]
           Rank_Y = [1 2 4 3 5 ]
           sigma_x = 1+2+3+4+5 = 15
           sigma_y = 1+2+4+3+5 = 15
           sigma_xy = 1*2+2*2+3*4+4*3+5*5 = 54
           sigma_xsq = 1*1+2*2+3*3+4*4+5*5 = 55
           sigma_ysq = 1*1+2*2+3*3+4*4+5*5 = 55
           Substitute values in formula
           Coefficient = Pearson(Rank_X, Rank_Y) = 0.9

Input:    X = [15 18 21 15 21 ]
          Y = [25 25 27 27 27 ]
Solution: Rank_X = [1.5  3 4.5 1.5 4.5]
          Rank_Y = [1.5  1.5 4 4 4]
          Calculate and substitute values of sigma_x, sigma_y,
          sigma_xy, sigma_xsq, sigma_ysq.
          Coefficient = Pearson(Rank_X, Rank_Y) = 0.456435
The Algorithm for fractional ranking scheme is given below:
function rankify(X)
    N = X.size() 

    // Vector to store ranks
    Rank_X(N)
    for i = 0 ... N-1
        r = 1 and s = 1

        // Count no of smaller elements in 0...i-1
        for j = 0...i-1
            if X[j] < X[i]
                r = r+1
            if X[j] == X[i]
                s = s+1
         
         // Count no of smaller elements in i+1...N-1
         for j = i+1...N-1
             if X[j] < X[i]
                r = r+1
            if X[j] == X[i]
                s = s+1
         
         //Assign Fractional Rank
         Rank_X[i] = r + (s-1) * 0.5
    
    return Rank_X 
Note: There is a direct formula to calculate Spearman’s coefficient given by However we need to put in a correction term to resolve each tie and hence this formula has not been discussed. Calculating Spearman’s coefficient from the correlation coefficient of ranks is the most general method.  
A CPP Program to evaluate Spearman’s coefficient is given below:
C++
// Program to find correlation// coefficient#include <iostream>#include <vector>#include <cmath>using namespace std; typedef vector<float> Vector; // Utility Function to print// a Vectorvoid printVector(const Vector &X){    for (auto i: X)        cout << i << " ";         cout << endl;} // Function returns the rank vector// of the set of observationsVector rankify(Vector & X) {     int N = X.size();     // Rank Vector    Vector Rank_X(N);         for(int i = 0; i < N; i++)    {        int r = 1, s = 1;                 // Count no of smaller elements        // in 0 to i-1        for(int j = 0; j < i; j++) {            if (X[j] < X[i] ) r++;            if (X[j] == X[i] ) s++;        }             // Count no of smaller elements        // in i+1 to N-1        for (int j = i+1; j < N; j++) {            if (X[j] < X[i] ) r++;            if (X[j] == X[i] ) s++;        }         // Use Fractional Rank formula        // fractional_rank = r + (n-1)/2        Rank_X[i] = r + (s-1) * 0.5;           }         // Return Rank Vector    return Rank_X;} // function that returns// Pearson correlation coefficient.float correlationCoefficient        (Vector &X, Vector &Y){    int n = X.size();    float sum_X = 0, sum_Y = 0,                    sum_XY = 0;    float squareSum_X = 0,        squareSum_Y = 0;     for (int i = 0; i < n; i++)    {        // sum of elements of array X.        sum_X = sum_X + X[i];         // sum of elements of array Y.        sum_Y = sum_Y + Y[i];         // sum of X[i] * Y[i].        sum_XY = sum_XY + X[i] * Y[i];         // sum of square of array elements.        squareSum_X = squareSum_X +                      X[i] * X[i];        squareSum_Y = squareSum_Y +                      Y[i] * Y[i];    }     // use formula for calculating    // correlation coefficient.    float corr = (float)(n * sum_XY -                  sum_X * sum_Y) /                  sqrt((n * squareSum_X -                       sum_X * sum_X) *                       (n * squareSum_Y -                       sum_Y * sum_Y));     return corr;} // Driver functionint main(){     Vector X = {15,18,21, 15, 21};    Vector Y= {25,25,27,27,27};     // Get ranks of vector X    Vector rank_x = rankify(X);     // Get ranks of vector y    Vector rank_y = rankify(Y);         cout << "Vector X" << endl;    printVector(X);     // Print rank vector of X    cout << "Rankings of X" << endl;    printVector(rank_x);         // Print Vector Y    cout << "Vector Y" << endl;    printVector(Y);     // Print rank vector of Y    cout << "Rankings of Y" << endl;    printVector(rank_y);     // Print Spearmans coefficient    cout << "Spearman's Rank correlation: "                                << endl;    cout<<correlationCoefficient(rank_x,                                rank_y);     return 0;}
Output: 
Vector X
15   18   21   15   21   
Rankings of X
1.5   3   4.5   1.5   4.5   
Vector Y
25   25   27   27   27   
Rankings of Y
1.5   1.5   4   4   4   
Spearman's Rank correlation: 
0.456435
Python code to calculate Spearman’s Rank Correlation: 
Python3
# Import pandas and scipy.statsimport pandas as pdimport scipy.stats # Two lists x and yx = [15,18,21, 15, 21]y = [25,25,27,27,27] # Create a function that takes in x's and y'sdef spearmans_rank_correlation(x, y):         # Calculate the rank of x's    xranks = pd.Series(x).rank()    print("Rankings of X:")    print(xranks)         # Calculate the ranking of the y's    yranks = pd.Series(y).rank()    print("Rankings of Y:")    print(yranks)         # Calculate Pearson's correlation coefficient on the ranked versions of the data    print("Spearman's Rank correlation:",scipy.stats.pearsonr(xranks, yranks)[0]) # Call the functionspearmans_rank_correlation(x, y) # This code is contributed by Manish KC# profile: mkumarchaudhary06
Output:  
Rankings of X:
0    1.5
1    3.0
2    4.5
3    1.5
4    4.5
dtype: float64
Rankings of Y:
0    1.5
1    1.5
2    4.0
3    4.0
4    4.0
dtype: float64
Spearman's Rank correlation: 0.456435464588
Python code to calculate Spearman’s Correlation using Scipy There is one simple way to directly get the spearman’s correlation value using scipy.  
Python3
# Import scipy.statsimport scipy.stats # Two lists x and yx = [15,18,21, 15, 21]y = [25,25,27,27,27] print(scipy.stats.spearmanr(x, y)[0]) # This code is contributed by Manish KC# Profile: mkumarchaudhary06
Output:  
0.45643546458763845
References:https://en.wikipedia.org/wiki/Spearman%27s_rank_correlation_coefficient
mkumarchaudhary06
rajeev0719singh
kalrap615
Fraction
statistical-algorithms
Mathematical
Mathematical
Writing code in comment?
Please use ide.geeksforgeeks.org,
generate link and share the link here.