mathnet/mathnet-numerics — pull request #123 by lifebeyondfife (2013-05-22 22:49:17+00:00)
Title: Spearman Rank Correlation

Addition to the Mathnet Numerics library of a second correlation statistic, that of the Spearman rank correlation coefficient. More can be read about this metric here: https://en.wikipedia.org/wiki/Spearman_rank_correlation

In essence, it uses the same underlying correlation implementation as that of the Pearson correlation - the difference being the inputs to the Pearson algorithm are first normalised (ranked). This makes it easier to compare two series with vastly different ranges. The Spearman coefficient is less sensitive to outlier data points.