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Multivariate Statistics Package Symbol

KendallRankCorrelation

KendallRankCorrelation[xlist, ylist]
gives Kendall's rank correlation coefficient

for the real-valued vectors xlist and ylist.

To use KendallRankCorrelation, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].

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 n_c is the number of concordant pairs of observations, n_d is the number of discordant pairs, n_x is the number of ties involving only the x variable, and n_y is the number of ties involving only the y variable.

A concordant pair of observations {x_i, y_i} and {x_j, y_j} is one such that both x_i>x_j and y_i>y_j or both x_i<x_j and y_i<y_j. A discordant pair of observations is one such that x_i>x_j and y_i<y_j or x_i<x_j and y_i>y_j.

Kendall's rank correlation for two vectors:

Needs["MultivariateStatistics`"]

Kendall's rank correlation for two vectors: