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I get this question frequently enough in my statistics consulting work, that I thought I'd post it here. I have an answer, which is posted below, but I was keen to hear what others have to say.

Question: If you have two variables that are not normally distributed, should you use Spearman's rho for the correlation?

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4 Answers 4

up vote 32 down vote accepted

Pearson's correlation is a measure of the linear relationship between two continuous random variables. It does not assume normality although it does assume finite variances and finite covariance. When the variables are bivariate normal, Pearson's correlation provides a complete description of the association.

Spearman's correlation applies to ranks and so provides a measure of a monotonic relationship between two continuous random variables. It is also useful with ordinal data and is robust to outliers (unlike Pearson's correlation).

The distribution of either correlation coefficient will depend on the underlying distribution, although both are asymptotically normal because of the central limit theorem.

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Pearson's $\rho$ does not assume normality, but is only an exhaustive measure of association if the joint distribution is multivariate normal. Given the confusion this distinction elicits, you might want to add it to your answer. –  user603 Oct 19 '10 at 7:42
    
@kwak. Good point. I'll update the answer. –  Rob Hyndman Oct 19 '10 at 7:45
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Is there a source that can be quoted to support the above statement (Person's r does not assume normality)? We're having the same argument in our department at the moment. –  user8891 Feb 1 '12 at 14:52
    
@RobHyndman In the field of financial time series (for example when trying to learn about correlations between stock returns), would you recommend Pearson correlation or rank based correlations? Wikipedia is pretty strongly against Pearson but their source is dubious. –  Jase Dec 27 '12 at 5:57
    
"When the variables are bivariate normal, Pearson's correlation provides a complete description of the association." And when the variables are NOT bivariate normal, how useful is Pearson's correlation? –  landroni Sep 16 at 10:07

Don't forget Kendall's tau! Roger Newson has argued for the superiority of Kendall's τa over Spearman's correlation rS as a rank-based measure of correlation in a paper whose full text is now freely available online:

Newson R. Parameters behind "nonparametric" statistics: Kendall's tau,Somers' D and median differences. Stata Journal 2002; 2(1):45-64.

He references (on p47) Kendall & Gibbons (1990) as arguing that "...confidence intervals for Spearman’s rS are less reliable and less interpretable than confidence intervals for Kendall’s τ-parameters, but the sample Spearman’s rS is much more easily calculated without a computer" (which is no longer of much importance of course). Unfortunately I don't have easy access to a copy of their book:

Kendall, M. G. and J. D. Gibbons. 1990. Rank Correlation Methods. 5th ed. London: Griffin.

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I'm also a big fan of Kendall's tau. Pearson is far too sensitive to influential points/outliers for my taste, and while Spearman doesn't suffer from this problem, I personally find Kendall easier to understand, interpret and explain than Spearman. Of course, your mileage may vary. –  Stephan Kolassa Oct 19 '10 at 7:44

From an applied perspective, I am more concerned with choosing an approach that summarises the relationship between two variables in a way that aligns with my research question. I think that determining a method for getting accurate standard errors and p-values is a question that should come second. Even if you chose not to rely on asymptotics, there's always the option to bootstrap or change distributional assumptions.

As a general rule, I prefer Pearson's correlation because (a) it generally aligns more with my theoretical interests; (b) it enables more direct comparability of findings across studies, because most studies in my area report Pearson's correlation; and (c) in many settings there is minimal difference between Pearson and Spearman correlation coefficients.

However, there are situations where I think Pearson's correlation on raw variables is misleading.

  • Outliers: Outliers can have great influence on Pearson's correlations. Many outliers in applied settings reflect measurement failures or other factors that the model is not intended to generalise to. One option is to remove such outliers. Univariate outliers do not exist with Spearman's rho because everything is converted to ranks. Thus, Spearman is more robust.
  • Highly skewed variables: When correlating skewed variables, particularly highly skewed variables, a log or some other transformation often makes the underlying relationship between the two variables clearer (e.g., brain size by body weight of animals). In such settings it may be that the raw metric is not the most meaningful metric anyway. Spearman's rho has a similar effect to transformation by converting both variables to ranks. From this perspective, Spearman's rho can be seen as a quick-and-dirty approach (or more positively, it is less subjective) whereby you don't have to think about optimal transformations.

In both cases above, I would advise researchers to either consider adjustment strategies (e.g., transformations, outlier removal/adjustment) before applying Pearson's correlation or use Spearman's rho.

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Updated

The question asks us to choose between Pearson's and Spearman's method when normality is questioned. Restricted to this concern, I think the following paper should inform anyone's decision:

It's quite nice and provides a survey of the considerable literature, spanning decades, on this topic -- starting from Pearson's "mutilated and distorted surfaces" and robustness of distribution of $r$. At least part of the contradictory nature of the "facts" is that much of this work was done before the advent of computing power -- which complicated things because the type of non-normality had to be considered and was hard to examine without simulations.

Kowalski's analysis concludes that the distribution of $r$ is not robust in the presence of non-normality and recommends alternative procedures. The entire paper is quite informative and recommended reading, but skip to the very short conclusion at the end of the paper for a summary.

If asked to choose between one of Spearman and Pearson when normality is violated, the distribution free alternative is worth advocating, i.e. Spearman's method.


Previously ..

Spearman's correlation is a rank based correlation measure; it's non-parametric and does not rest upon an assumption of normality.

The sampling distribution for Pearson's correlation does assume normality; in particular this means that although you can compute it, conclusions based on significance testing may not be sound.

As Rob points out in the comments, with large sample this is not an issue. With small samples though, where normality is violated, Spearman's correlation should be preferred.

Update Mulling over the comments and the answers, it seems to me that this boils down to the usual non-parametric vs. parametric tests debate. Much of the literature, e.g. in biostatistics, doesn't deal with large samples. I'm generally not cavalier with relying on asymptotics. Perhaps it's justified in this case, but that's not readily apparent to me.

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No. Pearson's correlation does NOT assume normality. It is an estimate of the correlation between any two continuous random variables and is a consistent estimator under relatively general conditions. Even tests based on Pearson's correlation do not require normality if the samples are large enough because of the CLT. –  Rob Hyndman Oct 19 '10 at 1:46
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I am under the impression that Pearson is defined as long as the underlying distributions have finite variances and covariances. So, normality is not required. If the underlying distributions are not normal then the test-statistic may have a different distribution but that is a secondary issue and not relevant to the question at hand. Is that not so? –  user28 Oct 19 '10 at 1:47
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@Rob: Yes, we can always come up with workarounds to make things work out roughly the same. Simply to avoid Spearman's method -- which most non-statisticians can handle with a standard command. I guess my advice remains to use Spearman's method for small samples where normality is questionable. Not sure if that's in dispute here or not. –  ars Oct 19 '10 at 23:43
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@ars. I would use Spearman's if I was interested in monotonic rather than linear association, or if there were outliers or high levels of skewness. I would use Pearson's for linear relationships provided there are no outliers. I don't think the sample size is relevant in making the choice. –  Rob Hyndman Oct 20 '10 at 0:32
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@Rob: OK, thanks for the discussion. I agree with the first part, but doubt the last, and would include that size only plays a role because normal asymptotics don't apply. For example, Kowalski 1972 has a pretty good survey of the history around this, and concludes that the Pearson's correlation is not as robust as thought. See: jstor.org/pss/2346598 –  ars Oct 20 '10 at 1:00

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