WeightedSpearmanRankCorrelation
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Function Description
Returns the weighted Spearman correlation between two
series.
The weighted Spearman rank correlation for two series, 1 and
2, given weights (for ), is
calculated as:
where
and are the
ranks of the values in the series , i.e. is the
largest value in the series
See Weighted
Moments and Cumulants for further details and explanation of terms in this
formula. If the weights are equal then returns the same as MnSpearmanRankCorrelation.
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