KendalTauCoefficient
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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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