VoseCorrMatrix

See also: Vose Correlation Matrix window, VoseCorrMatrixU

=VoseCorrMatrix({DataRange},DataInRows)

 

 

Example model

This function is an array function that calculates the rank order correlation matrix of a data set. The output of the function is an n x n array where n is the number of variables in the data set. For example, two calculate the correlation matrix of 2 columns of data, the output of VoseCorrmatrix should be a 2x2 array.

  • {DataRange} - the array of cells that contain the data.

  • DataInRows - an optional parameter that should be set to 1 if the variables in DataRange are listed by row for each variable.

The elements of the correlation matrix contain Spearman's rank correlation coefficient (a.k.a. Spearman's rho) between each pair of samples in the {DataRange} array. Spearman's rho is a non-parametric measure of the degree of correspondence between two variables. Spearman's rank correlation is carried out on the ranks of the data, i.e. what position (rank) the data point takes in an ordered list from the minimum to maximum values, rather than the actual data values themselves.

The sample estimator of Spearman's rho is defined by:

As each sample has a correlation of 1.0 with itself, the top left to bottom right diagonal elements are all 1.0. Furthermore, because the formula for the rank order correlation coefficient is symmetric the matrix elements are also symmetric about this diagonal line. 

 

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