Uncertainty ranking: Spearman’s correlation¶
This method deals with analyzing the influence the random vector has on a random variable which is being studied for uncertainty. Here we attempt to measure monotonic relationships that exist between and the different components .
Spearman’s correlation coefficient , defined in , measures the strength of a monotonic relation between two random variables and . If we have a sample made up of pairs , , …, , we can obtain an estimation of Spearman’s coefficient.
Hierarchical ordering using Spearman’s coefficients deals with the case where the variable monotonically depends on the variables . To obtain an indication of the role played by each in the dispersion of , the idea is to estimate the Spearman correlation coefficients for each . One can then order the variables taking absolute values of the Spearman coefficients: the higher the value of , the greater the impact the variable has on the dispersion of .
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