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KendallRankCorrelation


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 is the number of concordant pairs of observations, is the number of discordant pairs, is the number of ties involving only the x variable, and is the number of ties involving only the y variable.
  • A concordant pair of observations and is one such that both and or both and . A discordant pair of observations is one such that and or and .
  • The arguments xlist and ylist can be any real-valued vectors of equal length.
Kendall's rank correlation for two vectors:
Needs["MultivariateStatistics`"]
Kendall's rank correlation for two vectors:
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