KendalTauCoefficients
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Function Description
Returns an array of elements corresponding
to the elements of the matrix, , formed by Kendal tau coefficients for
each pairing of series that are
provided to the function as an array of elements, where the
first elements correspond to
the terms in the first series, the next elements to the
corresponding terms in the second series etc.
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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