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Function Description

Returns the Kendal’s Tau  between two series,  and .


If are a set of joint observations from two random variables  and  then pairs  and   are said to be ‘concordant’ if both  and  (or if both  and ). They are said to be ‘discordant’ if  and  or if  and . Then the elements of the matrix are as follows, where each entry separately considers all possible pairs of  for ,  and



N.B. There are various possible approaches to ties. The one implemented here reduces the denominator so that we still have  and in the presence of ties,  can take either extreme value in some circumstances.


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