Merge pull request #1 from dominicshanshan/dominicshanshan-cudf-dataf…

…rame-add-spearman

[REVIEW]Add 'spearman' correlation matrix in dataframe.py rapidsai#6804

python/cudf/cudf/core/dataframe.py

@@ -6931,12 +6931,22 @@ def cov(self, **kwargs):
         df.columns = self.columns
         return df
 
-    def corr(self):
-        """Compute the correlation matrix of a DataFrame.
-        """
-        corr = cupy.corrcoef(self.values, rowvar=False)
-        df = DataFrame(cupy.asfortranarray(corr)).set_index(self.columns)
-        df.columns = self.columns
+    def corr(self, method):
+        """Compute the correlation matrix of a DataFrame. Method: {'pearson', 'spearman'}
+        """
+        if method == 'pearson':             
+            corr = cupy.corrcoef(self.values, rowvar=False)
+            df = DataFrame(cupy.asfortranarray(corr)).set_index(self.columns)
+            df.columns = self.columns
+
+        elif method == 'spearman':
+            corr = cupy.corrcoef(self.rank().values, rowvar=False)
+            df = DataFrame(cupy.asfortranarray(corr)).set_index(self.columns)
+            df.columns = self.columns
+
+        else:
+            raise ValueError("method must be either 'pearson', 'spearman'") 
+
         return df
 
     def to_dict(self, orient="dict", into=dict):