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KendallRankCorrelation[xlist, ylist]
gives Kendall's rank correlation coefficient for the real-valued vectors xlist and ylist.
  • Kendall's rank correlation coefficient is a measure of association based on the relative order of consecutive elements in the two lists.
  • Kendall's rank correlation coefficient between x and y is given by , where nc is the number of concordant pairs of observations, nd is the number of discordant pairs, nx is the number of ties involving only the x variable, and ny is the number of ties involving only the y variable.
  • A concordant pair of observations {xi, yi} and {xj, yj} is one such that both xi>xj and yi>yj or both xi<xj and yi<yj. A discordant pair of observations is one such that xi>xj and yi<yj or xi<xj and yi>yj.
  • The arguments xlist and ylist can be any real-valued vectors of equal length.
Kendall's rank correlation for two vectors:
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