Pearson Correlation Coefficient
Suppose that we have 2 samples/columns, X and Y. N features from feature1 to featureN. The test statistics is computed as :
denominator1:
denominator2:
r =
Suppose that we have 2 samples/columns, the test statistics is computed as :
Spearman-corr =
where X_i is the rank of the ith X value, Y_i is the rank of the ith Y value,
is the mean of the
values, and
is the mean of the
values.
Real Example