g02bqf computes Kendall and/or Spearman nonparametric rank correlation coefficients for a set of data; the data array is preserved, and the ranks of the observations are not available on exit from the routine.

2 Specification

Fortran Interface

Subroutine g02bqf (

n, m, x, ldx, itype, rr, ldrr, kworka, kworkb, work1, work2, ifail)

Integer, Intent (In)	::	n, m, ldx, itype, ldrr
Integer, Intent (Inout)	::	ifail
Integer, Intent (Out)	::	kworka(n), kworkb(n)
Real (Kind=nag_wp), Intent (In)	::	x(ldx,m)
Real (Kind=nag_wp), Intent (Inout)	::	rr(ldrr,m)
Real (Kind=nag_wp), Intent (Out)	::	work1(n), work2(n)

C Header Interface

#include <nag.h>

void	g02bqf_ (const Integer n, const Integer m, const double x[], const Integer ldx, const Integer itype, double rr[], const Integer ldrr, Integer kworka[], Integer kworkb[], double work1[], double work2[], Integer ifail)

The routine may be called by the names g02bqf or nagf_correg_coeffs_kspearman.

3 Description

The input data consists of

n

observations for each of

m

variables, given as an array

[x_{i j}], i = 1, 2, \dots, n (n \geq 2), j = 1, 2, \dots, m (m \geq 2),

where

x_{i j}

is the

i

th observation on the

j

th variable.

The observations are first ranked, as follows.

For a given variable,

j

say, each of the

n

observations,

x_{1 j}, x_{2 j}, \dots, x_{n j}

, has associated with it an additional number, the ‘rank’ of the observation, which indicates the magnitude of that observation relative to the magnitude of the other

n - 1

observations on that same variable.

The smallest observation for variable

j

is assigned the rank

1

, the second smallest observation for variable

j

the rank

2

, the third smallest the rank

3

, and so on until the largest observation for variable

j

is given the rank

n

If a number of cases all have the same value for the given variable,

j

, then they are each given an ‘average’ rank – e.g., if in attempting to assign the rank

h + 1

k

observations were found to have the same value, then instead of giving them the ranks

h + 1, h + 2, \dots, h + k,

all

k

observations would be assigned the rank

\frac{2 h + k + 1}{2}

and the next value in ascending order would be assigned the rank

h + k + 1 .

The process is repeated for each of the

m

variables.

Let

y_{i j}

be the rank assigned to the observation

x_{i j}

when the

j

th variable is being ranked.

The quantities calculated are:

(a)Kendall's tau rank correlation coefficients:
$R_{j k} = \frac{\sum_{h = 1}^{n} \sum_{i = 1}^{n} sign (y_{h j} - y_{i j}) sign (y_{h k} - y_{i k})}{\sqrt{[n (n - 1) - T_{j}] [n (n - 1) - T_{k}]}}, j, k = 1, 2, \dots, m,$

and $sign u = 1$ if $u > 0$

$sign u = 0$ if $u = 0$

$sign u = - 1$ if $u < 0$
and $T_{j} = \sum t_{j} (t_{j} - 1)$ , $t_{j}$ being the number of ties of a particular value of variable $j$ , and the summation being over all tied values of variable $j$ .
(b)Spearman's rank correlation coefficients:
$R_{j k}^{*} = \frac{n (n^{2} - 1) - 6 \sum_{i = 1}^{n} {(y_{i j} - y_{i k})}^{2} - \frac{1}{2} (T_{j}^{*} + T_{k}^{*})}{\sqrt{[n (n^{2} - 1) - T_{j}^{*}] [n (n^{2} - 1) - T_{k}^{*}]}}, j, k = 1, 2, \dots, m,$
where $T_{j}^{*} = \sum t_{j} (t_{j}^{2} - 1)$ where $t_{j}$ is the number of ties of a particular value of variable $j$ , and the summation is over all tied values of variable $j$ .

4 References

Siegel S (1956) Non-parametric Statistics for the Behavioral Sciences McGraw–Hill

5 Arguments

1: $n$ – Integer Input

On entry:

n

, the number of observations or cases.

Constraint:

n \geq 2

2: $m$ – Integer Input

On entry:

m

, the number of variables.

Constraint:

m \geq 2

3: $x (ldx, m)$ – Real (Kind=nag_wp) array Input

On entry:

x (i, j)

must be set to data value

x_{i j}

, the value of the

i

th observation on the

j

th variable, for

i = 1, 2, \dots, n

and

j = 1, 2, \dots, m

4: $ldx$ – Integer Input

On entry: the first dimension of the array x as declared in the (sub)program from which g02bqf is called.

Constraint:

ldx \geq n

5: $itype$ – Integer Input

On entry: the type of correlation coefficients which are to be calculated.

$itype = - 1$: Only Kendall's tau coefficients are calculated.
$itype = 0$: Both Kendall's tau and Spearman's coefficients are calculated.
$itype = 1$: Only Spearman's coefficients are calculated.

Constraint:

itype = - 1

0

1

6: $rr (ldrr, m)$ – Real (Kind=nag_wp) array Output

On exit: the requested correlation coefficients.

If only Kendall's tau coefficients are requested (

itype = - 1

rr (j, k)

contains Kendall's tau for the

j

th and

k

th variables.

If only Spearman's coefficients are requested (

itype = 1

rr (j, k)

contains Spearman's rank correlation coefficient for the

j

th and

k

th variables.

If both Kendall's tau and Spearman's coefficients are requested (

itype = 0

), the upper triangle of rr contains the Spearman coefficients and the lower triangle the Kendall coefficients. That is, for the

j

th and

k

th variables, where

j

is less than

k

rr (j, k)

contains the Spearman rank correlation coefficient, and

rr (k, j)

contains Kendall's tau, for

j = 1, 2, \dots, m

and

k = 1, 2, \dots, m

(Diagonal terms,

rr (j, j)

, are unity for all three values of itype.)

7: $ldrr$ – Integer Input

On entry: the first dimension of the array rr as declared in the (sub)program from which g02bqf is called.

Constraint:

ldrr \geq m

8: $kworka (n)$ – Integer array Workspace

9: $kworkb (n)$ – Integer array Workspace

10: $work1 (n)$ – Real (Kind=nag_wp) array Workspace

11: $work2 (n)$ – Real (Kind=nag_wp) array Workspace

12: $ifail$ – Integer Input/Output

On entry: ifail must be set to

0

- 1

1

to set behaviour on detection of an error; these values have no effect when no error is detected.

A value of

0

causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of

- 1

means that an error message is printed while a value of

1

means that it is not.

If halting is not appropriate, the value

- 1

1

is recommended. If message printing is undesirable, then the value

1

is recommended. Otherwise, the value

0

is recommended. When the value $- 1$ or $1$ is used it is essential to test the value of ifail on exit.

On exit:

ifail = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry

ifail = 0

- 1

, explanatory error messages are output on the current error message unit (as defined by x04aaf).

Errors or warnings detected by the routine:

$ifail = 1$: On entry, $n = 〈value〉$ .
Constraint: $n \geq 2$ .

$ifail = 2$: On entry, $m = 〈value〉$ .
Constraint: $m \geq 2$ .

$ifail = 3$: On entry, $ldrr = 〈value〉$ and $m = 〈value〉$ .
Constraint: $ldrr \geq m$ .

On entry, $ldx = 〈value〉$ and $n = 〈value〉$ .
Constraint: $ldx \geq n$ .

$ifail = 4$: On entry, $itype = 〈value〉$ .
Constraint: $itype = - 1$ or $1$ .

$ifail = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.
See Section 7 in the Introduction to the NAG Library FL Interface for further information.

$ifail = - 399$: Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.

$ifail = - 999$: Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7 Accuracy

The method used is believed to be stable.

8 Parallelism and Performance

g02bqf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

The time taken by g02bqf depends on

n

and

m

10 Example

This example reads in a set of data consisting of nine observations on each of three variables. The program then calculates and prints both Kendall's tau and Spearman's rank correlation coefficients for all three variables.

g02bq: FL CL CPP AD

and	$sign u = 1$ if $u > 0$
	$sign u = 0$ if $u = 0$
	$sign u = - 1$ if $u < 0$

NAG FL Interfaceg02bqf (coeffs_​kspearman)

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

NAG FL Interface
g02bqf (coeffs_kspearman)