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Questions tagged [kendall-tau]

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

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20 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 ...
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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_\...
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is there a rank correlation coefficient that takes into account the presence of different elements in two rankings

I am looking for a rank correlation coefficient that takes into account the presence of different elements in two rankings. I have tried Spearman's ρ and Kendall's τ, but in both cases, when I ...
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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 ...
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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 ...
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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 ...
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Bound the difference between Spearman's Correlation and Kendall's Correlation

I am trying to prove or disprove that the difference between Spearman's Correlation and Kendall's Correlation is no more than 1 (or less, the tighter the merrier). I am assuming there are no ties. ...
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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 ...
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1answer
249 views

Kendall's tau or Kruskal Wallis Test?

I have data which is not normally distributed. Each participant ranked six actions in order of preference (so this is ordinal data right?) I want to see whether there is a significant difference in ...
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132 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 ...
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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 ...
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32 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 $X$ ...
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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 ...
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1answer
94 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 ...
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Weighted Kendall tau rank correlation coefficient

I need to use a measure to compare two rankings: Consider the ground truth as 1,2,3,4,5,6. Let two rankings be R1 and ...
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1answer
182 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 ...
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505 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 ...
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746 views

How to estimate Savage scores of tied ranks

I want to calculate the Top-Down Concordance coefficient that quantifies the agreement between two rankings by emphasizing more on the lowest rankings. The original paper is: R.L. Iman and W.J. ...
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1answer
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Kendall’s tau-b version calculation steps with tied ranks

I am trying to calculate Kendall’s tau coefficient for example given by Scipy in python. It is for tied ranks with tau-b version. The tau should be -0.47140452079103173 but I get a different result. I ...
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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 ...
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1answer
161 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 $\...
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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 ...
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1answer
786 views

How do I compare individual likert scale items

I am looking to compare individual likert scale items. I measured respondent's level of agreement (in a 5 point-scale) for several items (e.g. from 1 to 5 how much is A competent to treat your ...
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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 ...
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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 ...
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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-...
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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 ...
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1answer
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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 ...
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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-...
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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 (...
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156 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, ...
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158 views

How to assess correlation in non-ordinal (non-ranked) and non-normally distributed data? [duplicate]

Looking at Person's, Spearman's and Kendall's correlation coefficients for the same data, we can see that both Spearman's Rho and Kendall's Tau misrepresent the acutal correlation, if the data is ...
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1answer
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How to interpret the level of Kendall's Tau-b

Besides saying that a relation is positive or negative is it possible to interpret the Kendall's Tau-B depending on its level? E.g.: I have two significant values 0.2 and 0.6, would be the ...
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Kendall Tau or Spearman's rho?

In which cases should one prefer the one over the other? I found someone who claims an advantage for Kendall, for pedagogical reasons, are there other reasons?
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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 ...
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Correlation coefficients for ordered data: Kendall's Tau vs Polychoric vs Spearman's rho

It seems like for managing with ordered measurements researchers usually deal with Polychoric Correlation. (For example, for making matrix before doing Factor Analysis.) Why so? Kendall Tau Rank ...
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(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 ...
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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 ...
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1answer
2k views

Spearman's rho to correlate discrete with binary variables

Is it ok to use the Spearman's rho if one has to correlate a binary and a discrete (from 0 to 100) variable? Or Kendall's tau b would be a better choice?
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Incremental autocorrelation coefficient lag 1

I am a developer and I am trying to compute the autocorrelation coefficient of lag 1 incrementally. The problem is I have to test the results with some certified results from NiST Datasets. The ...
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1answer
158 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 ...
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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 ...
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1answer
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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 ...
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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 ...
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Canonical correlation analysis with rank correlation

Canonical correlation analysis (CCA) aims to maximize the usual Pearson product-moment correlation (i.e. linear correlation coefficient) of the linear combinations of the two data sets. Now, consider ...
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297 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 $...
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139 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}^{...
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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 ...
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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 ...
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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 ...