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Kendall Tau


Kendall tau is a correlation coefficient measuring the agreement between the orderings of paired observations (x_i,y_i). In the absence of ties, a pair of observations i<j is concordant when (x_i-x_j)(y_i-y_j)>0 and discordant when this product is negative. If C and D are the respective numbers of concordant and discordant pairs among n observations, then

 tau=(C-D)/((n; 2)).

The coefficient lies between -1 and 1. The values 1 and -1 correspond to complete agreement and complete reversal of the two orderings, respectively. Variants of the denominator account for ties (Kendall 1938).


See also

Correlation Coefficient, Spearman Rank Correlation Coefficient, Statistical Rank, Theil-Sen Estimator

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References

Kendall, M. G. "A New Measure of Rank Correlation." Biometrika 30, 81-93, 1938. https://doi.org/10.1093/biomet/30.1-2.81.

Cite this as:

Weisstein, Eric W. "Kendall Tau." From MathWorld--A Wolfram Resource. https://mathworld.wolfram.com/KendallTau.html

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