Rank Correlation with R

Rank correlation is a measure of the relationship between the rankings of two variables or two rankings of the same variable. In this post, we will talk about the Spearman's rho and Kendall's tau coefficients. Let's generate 1000 observations from a multivariate normal distribution and represent the usual correlation Pearson's as well as the Rank Correlations such that the Kendall's and Spearman's As we can see, in this example the Spearman's correlation was almost identical to Pearson's, but the Kendall's was much lower. We can also do a Hypothesis testing in R for the correlation coefficient with a Null Hypothesis that there is no correlation, value is 0. In the example below, we set as an alternative hypothesis Kendall's correlation to be positive.