[SciPy-dev] Possible Error in Kendall's Tau (scipy.stats.stats.kendalltau)

Sturla Molden sturla@molden...
Tue Mar 17 18:37:37 CDT 2009


> On Tue, Mar 17, 2009 at 6:10 PM,  <josef.pktd@gmail.com> wrote:

> I saw it mentioned somewhere, that Kendall's tau is the correlation
> coefficient of pairwise ranking indicators.

By definition, given a joint probability distribution f(x,y),

   tau = 2 * Probability{ (x1-x2)*(y1-y2) > 0 } - 1

where (x1,y1) and (x2,y2) are i.i.d. f(x,y).



Sturla Molden



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