www.gusucode.com > stats 源码程序 matlab案例代码 > stats/CompareKendallAndSpearmanRankCorrelationCoefficientsExample.m

    %% Compare Kendall and Spearman Rank Correlation Coefficients
% 

% Copyright 2015 The MathWorks, Inc.


%% Plot comparison
rho = -1:.01:1;
tau = 2.*asin(rho)./pi;
rho_s = 6.*asin(rho./2)./pi;

plot(rho,tau,'b-','LineWidth',2)
hold on
plot(rho,rho_s,'g-','LineWidth',2)
plot([-1 1],[-1 1],'k:','LineWidth',2)
axis([-1 1 -1 1])
xlabel('rho')
ylabel('Rank correlation coefficient')
legend('Kendall''s {\it\tau}', ...
       'Spearman''s {\it\rho_s}', ... 
       'location','NW')