Ranks of Spearman's rank correlation coefficient

-----Original Message-----
From: ggrothendieck at gmail.com
Sent: Sun, 9 Jan 2011 15:02:10 -0500
To: marco.zanella at inbox.com
Subject: Re: [R-SIG-Finance] Ranks of Spearman's rank correlation
coefficient

On Sun, Jan 9, 2011 at 8:22 AM, Zanella Marco <marco.zanella at inbox.com>
wrote:

Dear Sirs,
I'm using cor() funcion with Spearman method to analyse correlation of
timeseries. As you know Spearman method is based on ranks of timeseries,
instead of their value.

Well, what I'm not able to do is to extract the ranks of the timeseries
used from cor() to compute the Spearman correlation coefficient (also
called rho).

For instance if I have this two timeseries

a = c(-0.10, -0.21, -0.35, -0.38, -0.19)
b = c(-0.53, -0.42, -0.59, -0.55, -0.35)

I obtain rho in this way

cor(a,b, method="spearman")
[1] 0.6

but how can I obtain ranks for the two timeseries? Of course, the same
computed and used by previous cor().

Try this:

cor(rank(a), rank(b))

[1] 0.6


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