Questions tagged [kendall-tau]

A measure of concordance between two random variables based on ranks.

Filter by
Sorted by
Tagged with
0
votes
0answers
12 views

Correlation with ordered categories (ordinal data with many ties)

I want to compute a correlation between two variables in SPSS (n = 300). Variable A (income per year) is clearly interval scaled, and I need help defining Variable B and chosing the correct ...
0
votes
0answers
11 views

Find ranking to maximize average correlation to multiple known rankings

I have n measured rankings for k objects, which I want to combine such that the combined ranking maximizes the average correlation with the measured rankings. As correlation measures I need solutions ...
0
votes
0answers
5 views

Discriminatory power tests (Gini, KS, Kendall's Tau) for small sample (less than 50 observations)

Can I use such tests for a small sample (less than 50 observations) or do I need to implement some adjustments / some other tests?
0
votes
0answers
5 views

Test of Significance of Kendall's Tau-c

From Wikipedia I get that $\tau_c$ is more appropriate for datasets when the number of levels differ for two variables. Since that is the case for my data I need to use this test. However, wikipedia ...
0
votes
0answers
8 views

Calculate AMH copula parameter given kendall's tau

I am trying to find a way to calculate the parameter $\theta$ for the Ali–Mikhail–Haq (AMH) copula when given a value for Kendall's Tau, $\tau$. I am trying to do this in R and have thought of using ...
0
votes
0answers
9 views

Best correlation test for an ordinal / nominal dataset

I have a data set in which I have, among others, two variables that measure the degree of stenosis in an artery. Both variables use the same classification which is ordinal (from 1 to 5, meaning 1 = "...
1
vote
1answer
31 views

Kendall's tau for two binary variables

I have to calculate many correlations with mostly ordinal variables and I use Kendall's tau for this. In some cases there is one binary and one ordinal variable and in some cases there are two binary ...
1
vote
0answers
47 views

Derivation of equation for Kendall's $\tau$ for a Frank copula

I am trying to prove the equation for Kendall's tau given in Nelsen (1986). In Section 3 , Equation 3.1 is a general form for any copula. Under the case of Frank, $\frac{\partial}{\partial u}C_\...
0
votes
0answers
18 views

Kendall tau for a multivariate Clayton copula

Kendall's tau ($\tau$) is related with the dependence parameter of Clayton copula ($\theta$) as $$\tau=\frac{\theta}{\theta+2}$$ I am working with data divided in different categories. I want to ...
0
votes
0answers
24 views

Trend detection using Mann Kendall test and block bootstrap technique

I have to analyze the trend in rainfall time series data. Many literatures suggest that the nonparametric block bootstrap technique incorporating the Mann-Kendall trend test is suitable for trend ...
0
votes
0answers
32 views

Interpretation of Speaman Rank vs Kendall's Tau

Main question At work I am measuring the correlation of 2 R.Vs. When calculating the Spearman rho and Kendall's tau coefficients I get values of 0.78 and 0.52 respectively. I am confused though as ...
0
votes
1answer
24 views

Kendals tau-b correlation with lots of 0 variance columns

I am writing a paper that is meant to establish that certain algorithms rank candidate values accross multiple problems in a different way. To do this, I take Algorithm A and run it on the candidate ...
0
votes
0answers
23 views

Test if two values of Kendall's Tau are significantly different?

I want to use Kendall's Tau to check rank correlation in some data. I have two sets of data, and hence compute two values, $\tau_a$ and $\tau_b$. How do I test if $\tau_a$ is significantly different ...
4
votes
1answer
143 views

Can you use Kendall's Tau to compute covariance matrix?

I am working with multivariate archimedean copulas, and I am wondering how I can extract a covariance matrix out of them? I can get Kendall's Tau matrix of correlation so I was thinking that maybe I ...
1
vote
1answer
33 views

Need to randomize rank order,

I have a ranking of items, $X = (x_1, \ldots, x_n)$. I want to obtain a random sequence $\hat{X}$, which is a permutation of $x_i$, such that the expected rank-correlation (say, Kendall) between $X$ ...
0
votes
0answers
15 views

rank correlation test with multiple comparisons

I have run a single algorithm on a 50 problems with 3 different values for a parameter(tiebreak). The algorithm's job is to rank candidate values for a parameter(split) that will be fed into another ...
0
votes
1answer
106 views

Comparing Kendall's Tau values

I have a single ordinal outcome called RATING, and a series of continuous covariates (P1, P2, P3, etc). I have used Kendall's Tau statistic to assess the concordance/correlation between RATING and ...
1
vote
0answers
26 views

Patton's Symmetric Joe-Clayton copula

I am currently trying to apply Patton's Symmetric Joe-Clayton Copula, described in his "Modelling Asymmetric Exchange Rate Dependence". I am currently looking for the closed-form relation (if there is ...
1
vote
1answer
180 views

Why Kendall's Tau-c?

Wikipedia tells us: (link) Tau-c (also called Stuart-Kendall Tau-c) is more suitable than Tau-b for the analysis of data based on non-square (i.e. rectangular) contingency tables. What does $\...
0
votes
0answers
15 views

Modified Mann-Kendall trend test on hourly data?

Hi have a ten year dataset of hourly readings of water quality parameters (pH, temperature, dissolved oxygen, turbidity and specific conductivity). Since the data is on an hourly basis, it probably ...
0
votes
0answers
30 views

Correlation of ranked ordered list

Suppose I have n=3 of ranked ordered list of items: R1=<i1, i2, i3> R2=<i2,i1, i3> R3=<i1, i2, i3> I want to compute the correlation of an ...
3
votes
0answers
29 views

Comparing a predicted order of events to actual order of events

Sorry about my somewhat limited knowledge of statistics, it's just this is a tad too complex for my knowledge of the subject. I'm running a competition where entrants are told what events happen, and ...
2
votes
0answers
30 views

How do I choose between Kendall's tau and Spearman's rho correlations? [duplicate]

I am trying to choose between the two correlation tests. I am trying to see if a trait is correlated with the area of a habitat patch for a number of different habitat types. The data is non-...
1
vote
0answers
34 views

Estimating Pearson correlation for multivariate t distribution using Kendall rank correlation

I had a task to generate a certain amount of samples for $(X_{1},X_{2})$ with a bivariate $t$ distribution $t_{2}(\nu,\mu,\Sigma)$ and then estimate Pearson's correlation coefficient $\rho$ by using ...
0
votes
1answer
533 views

Mann Kendall test in R with missing data

I am trying to run a Mann Kendall test on community dissimilarity for streams sampled roughly monthly, but with NA values for some months where conditions prevented data collection. From what I am ...
2
votes
1answer
145 views

Sample size calculation for Kendall's Tau in reproducibility study

Can anyone help with justifying (or rubbishing) a couple of aspects of a sample size calculation for a grant proposal. A pilot study gave significant results for the correlation of a continuous (non-...
1
vote
0answers
41 views

Why does rank correlation only depend on copula, and not on the margins, if the margins are continuous

I read that for continuous margins, then Rank correlation only depend on copula and not on the margins. However, it is not the case for the non-continuous margins. Is that because the Kendall's tau (...
1
vote
1answer
38 views

Reference request for Kendall's Tau

I need some reading suggestions on Kendall's Tau at undergraduate level . I am not able to find some good material on the above topic . Please help me out . EDIT: To be more specific ,I want some ...
-2
votes
1answer
158 views

Correlation, Scatter graph [closed]

I have river flow rates for two separate rivers The data produced this scatter graph for both rivers https://i.imgur.com/jVnWF3t.png What is the best type of correlation to use here? Spearman, ...
0
votes
1answer
128 views

Which type of correlation should I use here? [closed]

For this data, I am looking at the relationship between bee population (1000s of bees) and area of genetically modified crops (km2). I have generated a scatter graph using this data: Question: What ...
1
vote
1answer
163 views

Kendal's tau correlation if only one variable is ordinal

I have a vector with 3000 data points consisting of values on a likert scale from 1 to 9. It is ordinal data without normal distribution. Now I would like to calculate the correlation of this vector ...
1
vote
0answers
12 views

Kendalls u-coefficient to calculate overall consistency of pair comparison experiments

I have 8 conditions. In a pairwise experiment, I am comparing 28 pairs: condition1 vs condition2, condition3 vs. condition 4, condition1 vs condition3, condition4 vs, condition2, etc etc. Each ...
0
votes
0answers
154 views

Multiple regression to maximize Kendall's tau

I've seen methods for maximizing Kendall's tau using regression with a single independent variable, e.g. Sen's 1968 article. I'm interested in fitting coefficients in a multiple linear regression ...
0
votes
1answer
24 views

Independence test informs paired difference test in matched pre/post settings?

I have a, perhaps faulty, intuition that if a paired difference test (e.g., Wilcoxon rank sum, t-test) for a pre/post item looks significant, one should use caution in interpreting this fact if an ...
3
votes
1answer
304 views

Why is Kendall's tau not consistent?

Kendall's tau measures the concordance between the two observations. For example, for $(X_1, Y_1)$, and $(X_2, Y_2)$, the pair is said to be concordant if $X_1 > X_2$ and $Y_1 > Y_2$, or $...
1
vote
1answer
147 views

What does “number of ties of extent m” mean?

I'm trying to figure out how variance of Kendall's tau statistic is determined in the presence of ties. From Yue et al. 2002: The variance of $S$ is given by: $E(S) = \frac{n(n-1)(2n+5)-\sum_{m=1}^{...
4
votes
1answer
323 views

Theoretical computation Kendall's tau [closed]

While working with rank correlation statistics of samples, specifically Spearman's rho and Kendall's tau, I came across the interesting theoretical interpretation of Kendall's tau. It can be viewed as ...
1
vote
1answer
132 views

Logistic regression for repeated measures

I have data corresponding to reports of "mind wandering", i.e. thinking about something unrelated to the task, and I want to look at the link between these reports and trust (regarding a system ...
1
vote
1answer
208 views

Kendall tau-b with one set containing only ties

I try to calculate the Kendall tau-b rank correlation for a huge number of paired sets. Some of those sets contain only ties, e.g., x1 = [1,1,1,1,1,1] which is ...
1
vote
0answers
598 views

(Non-)linearity and correlation (Pearson v. Spearman and Kendall)

I am a bit confused about how to interpret correlation coefficient results. I am aware that there are numerous questions about the differences between Pearson, Spearman, and Kendall, but I am more ...
0
votes
1answer
348 views

Can Mann-Kendall Trend Test be used for a Data set with monthly sales count?

Could I use the Mann-Kendall Trend test for a data set of monthly sales (counts)?
0
votes
1answer
526 views

how to calculate the standard error of the kendall tau and pearson r correlation coefficients [closed]

I need to calculate the standard error of the kendall tau and pearson r correlation coefficients. Unfortunately I couldn't find any formula or python code to calculate them. Any suggestions on how I ...
1
vote
0answers
46 views

Comparability of out-of-sample scores in leave-1-out cross validation

I have a data set which consists of 10 numerical variables, as well as a rank ordering of the observations. I am "scoring" each observation with a weighted average of the numerical variables, where ...
0
votes
1answer
512 views

Kendall tau for data with many ties

I am working on an an application that is part managed code and part unmanaged code. Because of the unmanaged code part, there was a requirement in the specifications that states that memory usage ...
1
vote
3answers
63 views

Concept of “identically distributed copy” in Kendall's tau

In this precise moment of this lecture: $(X_1, X_2)$ are the log returns of companies $X_1$ and $X_2,$ respectively. Then "we create an identically distributed copy"... $$(X_1, X_2) \underset{id}{=} ...
0
votes
1answer
394 views

Getting weird values for a statistical test in python

I'm trying to perform a Mann-Kendall Test of some data. I'm using the code in the following link (https://github.com/mps9506/Mann-Kendall-Trend/blob/master/mk_test.py) modified a little bit bellow for ...
1
vote
1answer
3k views

Difference between Spearman and Kendall-Tau correlation test

My question is not about the definition of the two rank correlation methods, but it is a more practical question: I have two variables, X and Y, and I calculate the rank correlation coefficient with ...
2
votes
1answer
186 views

Copula dependency

Prior to copula fitting, we must identify the dependency between two variable. What are the purpose of calculating the dependency? Some research said dependency value for example Kendall Tau value ...
1
vote
0answers
149 views

Implementing Hamed and Rao (1998) and Yue and Wang (2004) Modified Mann-Kendall test in R- Help with Correction Factor Calculation?

I am trying to modify the code mkTrend.R from 'fume' package to implement Hamed and Rao (1998) variance correction approach. From the code of mkTrend, the following line is very confusing (Line-29 to ...
0
votes
1answer
24 views

About Effect Coding: It is possible to include μ “mu” and all the τ “tau” in a β matrix? [closed]

Is it mandatory to have a comparison group (one "tau" is coded as -1 and it does not have its own column)? If it is mandatory, can you explain why? I am trying to represent the model Y=Xb+e in ...