Spearman's rank correlation

What is Spearman’s correlation

In addition to Pearson, we have Spearman’s rank correlation (denoted $\rho$) where the values of X and Y are replaced with their rank order from smallest to largest before correlating. Spearman’s ρ measures the monotonic association (increasing or decreasing)

Properties

• Spearman’s correlation is more robust to outliers
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