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WeightedSpearmanRankCorrelation

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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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