Spearman's rho - overview
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Spearman's rho | Wilcoxon signed-rank test | Kruskal-Wallis test |
You cannot compare more than 3 methods |
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Variable 1 | Independent variable | Independent/grouping variable | |
One of ordinal level | 2 paired groups | One categorical with $I$ independent groups ($I \geqslant 2$) | |
Variable 2 | Dependent variable | Dependent variable | |
One of ordinal level | One quantitative of interval or ratio level | One of ordinal level | |
Null hypothesis | Null hypothesis | Null hypothesis | |
H0: $\rho_s = 0$
Here $\rho_s$ is the Spearman correlation in the population. The Spearman correlation is a measure for the strength and direction of the monotonic relationship between two variables of at least ordinal measurement level. In words, the null hypothesis would be: H0: there is no monotonic relationship between the two variables in the population. | H0: $m = 0$
Here $m$ is the population median of the difference scores. A difference score is the difference between the first score of a pair and the second score of a pair. Several different formulations of the null hypothesis can be found in the literature, and we do not agree with all of them. Make sure you (also) learn the one that is given in your text book or by your teacher. | If the dependent variable is measured on a continuous scale and the shape of the distribution of the dependent variable is the same in all $I$ populations:
Formulation 1:
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Alternative hypothesis | Alternative hypothesis | Alternative hypothesis | |
H1 two sided: $\rho_s \neq 0$ H1 right sided: $\rho_s > 0$ H1 left sided: $\rho_s < 0$ | H1 two sided: $m \neq 0$ H1 right sided: $m > 0$ H1 left sided: $m < 0$ | If the dependent variable is measured on a continuous scale and the shape of the distribution of the dependent variable is the same in all $I$ populations:
Formulation 1:
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Assumptions | Assumptions | Assumptions | |
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Test statistic | Test statistic | Test statistic | |
$t = \dfrac{r_s \times \sqrt{N - 2}}{\sqrt{1 - r_s^2}} $ Here $r_s$ is the sample Spearman correlation and $N$ is the sample size. The sample Spearman correlation $r_s$ is equal to the Pearson correlation applied to the rank scores. | Two different types of test statistics can be used, but both will result in the same test outcome. We will denote the first option the $W_1$ statistic (also known as the $T$ statistic), and the second option the $W_2$ statistic.
In order to compute each of the test statistics, follow the steps below:
| $H = \dfrac{12}{N (N + 1)} \sum \dfrac{R^2_i}{n_i} - 3(N + 1)$ | |
Sampling distribution of $t$ if H0 were true | Sampling distribution of $W_1$ and of $W_2$ if H0 were true | Sampling distribution of $H$ if H0 were true | |
Approximately the $t$ distribution with $N - 2$ degrees of freedom | Sampling distribution of $W_1$:
If $N_r$ is large, $W_1$ is approximately normally distributed with mean $\mu_{W_1}$ and standard deviation $\sigma_{W_1}$ if the null hypothesis were true. Here $$\mu_{W_1} = \frac{N_r(N_r + 1)}{4}$$ $$\sigma_{W_1} = \sqrt{\frac{N_r(N_r + 1)(2N_r + 1)}{24}}$$ Hence, if $N_r$ is large, the standardized test statistic $$z = \frac{W_1 - \mu_{W_1}}{\sigma_{W_1}}$$ follows approximately the standard normal distribution if the null hypothesis were true. Sampling distribution of $W_2$: If $N_r$ is large, $W_2$ is approximately normally distributed with mean $0$ and standard deviation $\sigma_{W_2}$ if the null hypothesis were true. Here $$\sigma_{W_2} = \sqrt{\frac{N_r(N_r + 1)(2N_r + 1)}{6}}$$ Hence, if $N_r$ is large, the standardized test statistic $$z = \frac{W_2}{\sigma_{W_2}}$$ follows approximately the standard normal distribution if the null hypothesis were true. If $N_r$ is small, the exact distribution of $W_1$ or $W_2$ should be used. Note: if ties are present in the data, the formula for the standard deviations $\sigma_{W_1}$ and $\sigma_{W_2}$ is more complicated. | For large samples, approximately the chi-squared distribution with $I - 1$ degrees of freedom. For small samples, the exact distribution of $H$ should be used. | |
Significant? | Significant? | Significant? | |
Two sided:
| For large samples, the table for standard normal probabilities can be used: Two sided:
| For large samples, the table with critical $X^2$ values can be used. If we denote $X^2 = H$:
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Example context | Example context | Example context | |
Is there a monotonic relationship between physical health and mental health? | Is the median of the differences between the mental health scores before and after an intervention different from 0? | Do people from different religions tend to score differently on social economic status? | |
SPSS | SPSS | SPSS | |
Analyze > Correlate > Bivariate...
| Analyze > Nonparametric Tests > Legacy Dialogs > 2 Related Samples...
| Analyze > Nonparametric Tests > Legacy Dialogs > K Independent Samples...
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Jamovi | Jamovi | Jamovi | |
Regression > Correlation Matrix
| T-Tests > Paired Samples T-Test
| ANOVA > One Way ANOVA - Kruskal-Wallis
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Practice questions | Practice questions | Practice questions | |