[Statistics] Comparison of Three Correlation Coefficients: Pearson, Kendall, Spearman
- 2020 年 3 月 4 日
- 筆記
There are three popular metrics to measure the correlation between two random variables: Pearson’s correlation coefficient, Kendall’s tau and Spearman’s rank correlation coefficient. In this article, I will make a detailed comparison among the three measures and discuss how to choose among them.
Definition
Pearson Correlation
Pearson’s correlation coefficient is the covariance of the two variables divided by the product of their standard deviations.
The formula for
the formula for
Kendall’s Tau
An explicit expression for Kendall’s rank coefficient is
Spearman’s Rank Correlation Coefficient
Comparison
Reference
- https://en.wikipedia.org/wiki/Pearson_correlation_coefficient
- https://en.wikipedia.org/wiki/Kendall_rank_correlation_coefficient
- https://en.wikipedia.org/wiki/Spearman%27s_rank_correlation_coefficient
- More on Understanding Rho: https://online.stat.psu.edu/stat414/node/113/
- Allen B. Downey, Think Stats: Probability and Statistics for Programmers
- Does Spearmans rho have any advantege over Kendall’s tau? https://www.researchgate.net/post/Does_Spearmans_rho_have_any_advantage_over_Kendalls_tau
