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Re: p value for spearman's correlation
From: |
Alan Mead |
Subject: |
Re: p value for spearman's correlation |
Date: |
Sat, 26 Dec 2020 19:58:40 -0600 |
User-agent: |
Mozilla/5.0 (Windows NT 6.1; Win64; x64; rv:78.0) Gecko/20100101 Thunderbird/78.6.0 |
On 12/26/2020 2:27 PM, John Darrington
wrote:
There is a brief discussion of the issue here:
https://www.spss-tutorials.com/spearman-rank-correlation/
but again, to be sure, I'd want to review some of the academic literature
first.
John,
I see your point. This tutorial says that for N >= 30, you should
use the standard t-test (that's my read). The formula given is:
t = rs * sqrt( N - 2 ) / sqrt( 1 - rs**2 );
df = N - 2;
You then compare this to the t-distribution.
When N<30, he references a permutation test. This test constructs
an empirical H0 distribution (similar to something like
bootstrapping) based on the assumption that if H0 is true, you can
randomly permute the two samples without damaging the correlation.
So, one version of this test takes the dataset <X,Y> and
constructs a new dataset <S1,S2> where each element of X[i] is
randomly assigned to S1 or S2 (and Y[i] is assigned to the other)
and Rs is calculated. This is then repeated until you have a
sufficient empirical H0 distribution.
This can be done exactly (i.e., each possible permutation can be
enumerated) for small N. I'm having trouble visualizing how many
values this is... You're making a binary choice for each element, so
if you have N=10, that's 2**10 = 1024 possible choices of S1 and S2?
But one post suggested that it's 10! = 3.6E6, which is getting big.
In samples sizes like 10 < N < 30 you would just choose a
large random set of permuted datasets (like bootstrapping).
I guess R spearman_test implements this test and that the test fails
if there are ties. I guess we could examine the R code to see how
this works?
This paper, https://arxiv.org/pdf/2008.01200.pdf, suggests that the
test is flawed both in small samples and in samples with distinctly
non-normal underlying data. I don't know what it means to be
"normally distributed" for ranks... Ranks are always distributed
uniformly unless there are ties. Their method is implemented in the
'perk' library and is also a sampling/resampling approach.
IIRC, the inquiry that started this discussion was about a sample of
N = 100. I think PSPP should just report the standard t-test results
for all cases. This replicates SPSS bug-for-bug.
Alternatively, I wouldn't be upset if PSPP refuses to print any
p-value for N < 30. I think ideally we would add a keyword
requesting a more advanced algorithm.
Finally, I don't think any of this discussion bears on why the
p-value is missing from the Pearson r in CROSSTABS.
-Alan
--
Alan D. Mead, Ph.D.
President, Talent Algorithms Inc.
science + technology = better workers
http://www.alanmead.org
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- p value for spearman's correlation, Ramagokula Krishnan, 2020/12/26
- Re: p value for spearman's correlation, John Darrington, 2020/12/26
- Re: p value for spearman's correlation, Alan Mead, 2020/12/26
- Re: p value for spearman's correlation, Ben Pfaff, 2020/12/26
- Re: p value for spearman's correlation, Alan Mead, 2020/12/26
- Re: p value for spearman's correlation, John Darrington, 2020/12/26
- Re: p value for spearman's correlation,
Alan Mead <=
- Re: p value for spearman's correlation, Alex Ernesto Davila Davila, 2020/12/26
- Re: p value for spearman's correlation, Alan Mead, 2020/12/27
- Re: p value for spearman's correlation, John Darrington, 2020/12/27
- Re: p value for spearman's correlation, Ben Pfaff, 2020/12/27
- Re: p value for spearman's correlation, Alan Mead, 2020/12/27
- Re: p value for spearman's correlation, Alex Ernesto Davila Davila, 2020/12/27