Computes the Kendall's Tau correlation coefficient between input sequences X and Y.


icon

Inputs/Outputs

  • c1ddbl.png X —

    X is the first input sequence.

  • c1ddbl.png Y —

    Y is the second input sequence.

  • idbl.png correlation coefficient r —

    correlation coefficient r returns the correlation coefficient between X and Y.

  • idbl.png r^2 —

    r^2 returns the square of correlation coefficient r.

    • The Kendall's Tau correlation coefficient is a non-parametric measure of association between two data sets.

    In a population with the Kendall's Tau correlation coefficient r, the odds ratio Pc /Pd of the concordant to discordant sets of observations equals (1+r)/(1–r). For example, in a population with a cross correlation r of 1/2, X and Y are three times as likely to be concordant than discordant.