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Questions tagged [kendall-tau]

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

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1answer
3k views

Kendall's tau for Clayton Copula

When $\theta =-\frac{1}{2}$ the Clayton copula is given by $C(x,y)=(\sqrt{x}+\sqrt{y}-1)^2$. I've been asked to show in this case that Kendall's tau is $-\frac{1}{3}$. Using $$\rho_{\tau}=4 \int_0^1 \...
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1answer
378 views

Interpreting high P-Value in ordinal rank correlation measures

I'm currently evaluating a machine-learned ranking task. Two (among other) performance measures are Spearman's Rho and Kendall's Tau (rank or concordance correlation). I'm basically comparing a ground-...
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1answer
1k views

How to obtain p-values for a given Kendall's Tau value (not calculated from data)

I want to obtain p-values for Parker's Tau-U (Parker et al., 2011). which is a measure based on Kendall's Tau. Tau-U is related to Kendall's Tau in such a way that it's possible to translate a Tau-U ...
4
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1answer
398 views

What's the bias of calculating the Kendall coefficient of correlation on a sample instead of a whole population?

I am trying to calculate Kendall coefficient of correlation but my data frame in R contains 6 million observations and 17 variables. It is numerically hard for R to compute the estimator on a whole ...
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3answers
1k views

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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0answers
770 views

Equivalence of p-values from Jonckheere-Terpstra test and Kendall's tau

I'm using the Jonckheere-Terpstra test to confirm whether an interval variable, distributed across five levels of an ordinal variable, display a significant trend. I'm using the clinfun package, ...
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0answers
2k views

Fast Kendall Tau in Matlab (and if necessary another language)

As I understand, there are two ways to compute Kendall Tau for a data matrix $X$ (n rows of data points in $\mathbb{R}^p$): corr(X,'type','kendall') http://www.mathworks.com/matlabcentral/...
4
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1answer
6k views

How to interpret the tau statistics in the Mann-Kendall test

How should the tau number from a Mann-Kendall test be interpreted? I've read that for trends to be detected by the test they must be monotonic. If I have data across years, group them by calendar ...
3
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1answer
148 views

Kendall correlation between $X$ and $X^2$

Let $X \sim N(0, 1)$. Can you confirm that the Kendall's correlation coefficient between $X$ and $X^2$ is equal to $0$. The way I interpret this, is that Kendall's tau only measures monotonic ...
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1answer
790 views

Gumbel Copula generation using nonparametric correlations like Kendall's tau

I have 2 different variates W,X. I want to compute Gumbel copula for these variates. I followed following steps for the same: 1. To compute kendall's tau I used R's package Kendall. From kendall's tau ...
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0answers
61 views

Generate two sequences that have a pre-specified rank correlation

I have two samples $ X_1,\cdots,X_n $ and $ Y_1, \cdots, Y_n $, and would like to re-order them so that they have a pre-specified value of rank correlation such as Kendall's tau. I do know that there ...
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1answer
124 views

Appropriate statistical measure for rank correlation

In the course of my work, something of a problem has arisen. It can be summarized like this: there's a large pool of job applicants, let's say N of them. What needs to be done is that these applicants ...
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0answers
499 views

Reporting both Kendall's tau and Goodman's Gamma, does it make sense?

In a data analysis, does it make sense to report both Kendall's tau and Goodman's Gamma? I guess not, since tau looks like a standardized form of Gamma. Or does it add some explanation?
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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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1answer
327 views

Power of Seasonal Kendall Trend test

I was asked about doing a power analysis of a seasonal kendall trend test. I feel like that would be really difficult to do and I haven't found any documentation or software on how to do it. Is there ...
9
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1answer
1k views

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 ...
1
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1answer
727 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. ...
3
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1answer
3k views

Kendall Tau-b correlation coefficient becomes more significant with many additional ties

Say I have two vectors of length N, x = [1, 10, 12, ..., 5, 6] y = [2, 11, 10, ..., 7, 9] I compute the Kendall tau-b rank order correlation on these two vectors ...
7
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1answer
253 views

Kendall-tau and RKHS spaces

Given two random variables $X_1$ and $X_2$, the Kendall-tau correlation coefficient could be defined as $$ \tau(X_{1},X_{2})=\mathbb{P}\Big((X_{1}-\tilde{X}_{1})(X_{2}-\tilde{X}_{2})>0\Big)-\mathbb{...
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0answers
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Kendall's tau for holdouts low and not significant - Conjoint

I have done my Conjoint Analysis (fractional factorial design) but when it comes to validating the model, it shows a Kendall's tau for Holdouts of 0.33 and not significant. But Pearson's R and Kendall'...
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3answers
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If linear regression is related to Pearson's correlation, are there any regression techniques related to Kendall's and Spearman's correlations?

Maybe this question is naive, but: If linear regression is closely related to Pearson's correlation coefficient, are there any regression techniques closely related to Kendall's and Spearman's ...
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0answers
626 views

How to manage correlation coefficients (Spearman, Kendall) with lists of different dimensions?

I have to compare two different lists of biomolecular annotations, and to find out their correlation degree. To do this, I have implemented a function computing the Spearman's rank correlation ...
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2answers
2k views

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 ...
3
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1answer
2k views

Compute significance of Kendall tau-b?

Compute significance of Kendall tau-b? I have so-far tried all ways of computing kendall tau significance (where there are ties) described here. However, none of them works good, even for relatively ...
2
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1answer
730 views

Choosing the right correlation coefficient

Let $X \in \{0,1\}^{n \times m}$ be a matrix with $n,m \geq 600$. I want to calculate the correlations between the columns of the matrix $X$. To be more precise, I need the correlation matrix $C \in [...
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1answer
2k views

Rank correlation statistics comparison

I am trying to understand the relative behavior of the following rank correlation statistics: Spearman coefficient Kendall Tau / Concordance percentage Normalized Gini coefficient (area under curve ...
7
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1answer
2k views

Spearman or Kendall correlation? [duplicate]

I would like to assess the correlation between a 7-category ordinal variable (X) and a number of other variables some of which are ordinal with 3-6 categories, others are continuous and a couple are ...
31
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3answers
11k views

How do the Goodman-Kruskal gamma and the Kendall tau or Spearman rho correlations compare?

In my work, we are comparing predicted rankings versus true rankings for some sets of data. Up until recently, we've been using Kendall-Tau alone. A group working on a similar project suggested we try ...
3
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1answer
761 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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5answers
66k views

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?