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rankCorr

rankCorr​

Introduced in: v20.9

Computes a rank correlation coefficient.

Returns a rank correlation coefficient of the ranks of x and y. The value of the correlation coefficient ranges from -1 to +1. If less than two arguments are passed, the function will return an exception. The value close to +1 denotes a high linear relationship, and with an increase of one random variable, the second random variable also increases. The value close to -1 denotes a high linear relationship, and with an increase of one random variable, the second random variable decreases. The value close or equal to 0 denotes no relationship between the two random variables.

See Also

Syntax

rankCorr(x, y)

Arguments

  • x — Arbitrary value. Float*
  • y — Arbitrary value. Float*

Returned value

Returns a rank correlation coefficient of the ranks of x and y. The value ranges from -1 to +1. Float64

Examples

Perfect correlation

SELECT rankCorr(number, number) FROM numbers(100);

┌─rankCorr(number, number)─┐
│                        1 │
└──────────────────────────┘

Non-linear relationship

SELECT roundBankers(rankCorr(exp(number), sin(number)), 3) FROM numbers(100);

┌─roundBankers(rankCorr(exp(number), sin(number)), 3)─┐
│                                              -0.037 │
└─────────────────────────────────────────────────────┘

See Also