[Help-gsl] Spearman rank correlation coefficient

[Patrick Alken]

Hello,

   It would be best to move this discussion over to gsl-discuss. I think 
it would be very useful to have this function in GSL. Just a few 
comments on your code:

1) The code looks clean and nicely commented. One issue is that since 
you appear to have followed the apache code very closely, there may be a 
licensing issue - I don't know if the Apache license is compatible with 
the GPL. On a quick check, its possible we can use it but it seems we 
need to preserve the original copyright notice.

2) Dynamic allocation - it looks like you dynamically allocate 5 
different arrays to do the calculation. It would be better to either 
make functions like gsl_stats_spearman_alloc and 
gsl_stats_spearman_free, or to pass in a pre-allocated workspace as one 
of the function arguments. Since you're using workspace of different 
types (double,size_t), its probably better to make the alloc/free functions.

3) One of your dynamically allocated arrays is realloc()'d in a loop. Is 
this because the size of the array is unknown before the loop? Perhaps 
there is a way to avoid the realloc's.

4) We also need to think of some automated tests that can be added to 
statistics/test.c to test this function exhaustively and make sure its 
working correctly - even if that consists simply of known output values 
for a few different input cases.

Good work,
Patrick Alken

On 02/09/2012 04:26 PM, Timothée Flutre wrote:
> Hello,
>
> I noticed that only the Pearson correlation coefficient is implemented
> in the GSL (http://www.gnu.org/software/gsl/manual/html_node/Correlation.html).
> However, in quantitative genetics, several authors are using the
> Spearman coef (for instance, Stranger et al "Population genomics of
> human gene expression", Nature Genetics, 2007) as it is less
> influenced by outliers.
>
> Current high-throughput data requires to compute such coef several
> millions of times. Thus I implemented the computation of the Spearman
> coef in GSL-like code. In fact, one just need to rank the input
> vectors and then compute the Pearson coef on them. For the ranking, I
> got inspired by the code from the Apache Math module.
>
> I was thinking that it could be useful to other users to add my piece
> of code to the file "covariance_source.c" of the GSL
> (http://bzr.savannah.gnu.org/lh/gsl/trunk/annotate/head:/statistics/covariance_source.c#L77).
> So here is the code: https://gist.github.com/1784199
>
> I am not very proficient in C, so even if it is not possible to
> include the code in the GSL, don't hesitate to give me advice.
>
> Thanks,
> Tim
>