Peng Yu
2009-Oct-08 21:22 UTC
[R] Is there a book that summarizes different correlation methods?
Hi, I know what the following correlation methods ("pearson", "kendall", "spearman") are through wiki. But I'm wondering if there is a good book that discuss why these metrics are defined and when to use one coefficient versus the others. cor.test(x, y, alternative = c("two.sided", "less", "greater"), method = c("pearson", "kendall", "spearman"), exact = NULL, conf.level = 0.95, ...) cov(x, y = NULL, use = "everything", method = c("pearson", "kendall", "spearman")) cor(x, y = NULL, use = "everything", method = c("pearson", "kendall", "spearman")) I know that "cor(x,y)=cov(x,y)/sqrt(var(x)*var(y))". What is the relation between cor(), cov(), cor.test() for "kendall" and "spearman"? Regards, Peng