Nonparametric Correlations

Spearman R (Siegel & Castellan, 1988) assumes that the variables under consideration were measured on at least an ordinal (rank order) scale, that is, that the individual observations can be ranked into two-ordered series.

Kendall Tau is equivalent to Spearman R with regard to the underlying assumptions. It is also comparable in terms of its Statistical power. However, Spearman R and Kendall Tau are usually not identical in magnitude because their underlying logic as well as their computational formulas are very different. Siegel and Castellan (1988) express the relationship of the two measures in terms of the inequality:

-1 <= 3 * Kendall Tau - 2 * Spearman R <= 1

More importantly, Kendall Tau and Spearman R imply different interpretations: Spearman R can be thought of as the regular Pearson product moment correlation coefficient, that is, in terms of proportion of variability accounted for, except that Spearman R is computed from ranks. Kendall Tau, on the other hand, represents a probability, that is, it is the difference between the probability that in the observed data the two variables are in the same order versus the probability that the two variables are in different orders.

The Gamma statistic (Siegel & Castellan, 1988) is preferable to Spearman R or Kendall Tau when the data contain many tied observations. In terms of the underlying assumptions, Gamma is equivalent to Spearman R or Kendall Tau; in terms of its interpretation and computation it is more similar to Kendall Tau than Spearman R. In short, Gamma is also a probability; specifically, it is computed as the difference between the probability that the rank ordering of the two variables agree minus the probability that they disagree, divided by 1 minus the probability of ties. Thus, Gamma is basically equivalent to Kendall Tau, except that ties are explicitly taken into account.