Kendall rank correlation coefficient

In statistics, the Kendall rank correlation coefficient, commonly referred to as Kendall's tau coefficient (after the Greek letter
τ), is a statistic used to measure the ordinal association between two measured quantities. A tau test is a non-parametric
hypothesis test for statistical dependence based on the tau coefficient.

It is a measure of rank correlation: the similarity of the orderings of the data when ranked by each of the quantities. It is named
after Maurice Kendall, who developed it in 1938,[1] though Gustav Fechner had proposed a similar measure in the context of time
series in 1897.[2]

Intuitively, the Kendall correlation between two variables will be high when observations have a similar (or identical for a
correlation of 1) rank (i.e. relative position label of the observations within the variable: 1st, 2nd, 3rd, etc.) between the two
variables, and low when observations have a dissimilar (or fully different for a correlation of −1) rank between the two variables.

Both Kendall's and Spearman's can be formulated as special cases of a more general correlation coefficient.

Contents
Definition
Properties
Hypothesis test
Accounting for ties
Tau-a
Tau-b
Tau-c
Significance tests
Algorithms
Software Implementations
See also
References
Further reading
External links

Definition
Let (x1, y1), (x2, y2), ..., (xn, yn) be a set of observations of the joint random variables X and Y respectively, such that all the values
of ( ) and ( ) are unique. Any pair of observations and , where , are said to be concordant if the ranks
for both elements (more precisely, the sort order by x and by y) agree: that is, if both and ; or if both
and . They are said to be discordant, if and ; or if and . If or , the
pair is neither concordant nor discordant.

The Kendall τ coefficient is defined as:

 [3]

Where is the binomial coefficient for the number of ways to choose two items from n items.

Properties
The denominator is the total number of pair combinations, so the coefficient must be in the range −1 ≤ τ ≤ 1.

If the agreement between the two rankings is perfect (i.e., the two rankings are the same) the coefficient has
value 1.
If the disagreement between the two rankings is perfect (i.e., one ranking is the reverse of the other) the
coefficient has value −1.
If X and Y are independent, then we would expect the coefficient to be approximately zero.

An explicit expression for Kendall's rank coefficient is .

Hypothesis test
The Kendall rank coefficient is often used as a test statistic in a statistical hypothesis test to establish whether two variables may
be regarded as statistically dependent. This test is non-parametric, as it does not rely on any assumptions on the distributions of X
or Y or the distribution of (X,Y).

Under the null hypothesis of independence of X and Y, the sampling distribution of τ has an expected value of zero. The precise
distribution cannot be characterized in terms of common distributions, but may be calculated exactly for small samples; for larger
samples, it is common to use an approximation to the normal distribution, with mean zero and variance

.[4]

Accounting for ties

A pair is said to be tied if or ; a tied pair is neither concordant nor discordant. When tied
pairs arise in the data, the coefficient may be modified in a number of ways to keep it in the range [−1, 1]:

Tau-a
The Tau-a statistic tests the strength of association of the cross tabulations. Both variables have to be ordinal. Tau-a will not make
any adjustment for ties. It is defined as:

where nc, nd and n0 are defined as in the next section.

Tau-b
The Tau-b statistic, unlike Tau-a, makes adjustments for ties.[5] Values of Tau-b range from −1 (100% negative association, or
perfect inversion) to +1 (100% positive association, or perfect agreement). A value of zero indicates the absence of association.
The Kendall Tau-b coefficient is defined as:

where

Be aware that some statistical packages, e.g. SPSS, use alternative formulas for computational efficiency, with double the 'usual'
number of concordant and discordant pairs.[6]

Tau-c
Tau-c (also called Stuart-Kendall Tau-c)[7] is more suitable than Tau-b for the analysis of data based on non-square (i.e.
rectangular) contingency tables.[7][8] So use Tau-b if the underlying scale of both variables has the same number of possible
values (before ranking) and Tau-c if they differ. For instance, one variable might be scored on a 5-point scale (very good, good,
average, bad, very bad), whereas the other might be based on a finer 10-point scale.

The Kendall Tau-c coefficient is defined as:[8]

where

Significance tests
When two quantities are statistically independent, the distribution of is not easily characterizable in terms of known
distributions. However, for the following statistic, , is approximately distributed as a standard normal when the variables
are statistically independent:
Thus, to test whether two variables are statistically dependent, one computes , and finds the cumulative probability for a
standard normal distribution at . For a 2-tailed test, multiply that number by two to obtain the p-value. If the p-value is
below a given significance level, one rejects the null hypothesis (at that significance level) that the quantities are statistically
independent.

Numerous adjustments should be added to when accounting for ties. The following statistic, , has the same distribution as
the distribution, and is again approximately equal to a standard normal distribution when the quantities are statistically
independent:

where

Algorithms
The direct computation of the numerator , involves two nested iterations, as characterized by the following pseudo-code:

numer := 0
for i:=2..N do
for j:=1..(i-1) do
numer := numer + sign(x[i] - x[j]) * sign(y[i] - y[j])
return numer

Although quick to implement, this algorithm is in complexity and becomes very slow on large samples. A more
sophisticated algorithm[9] built upon the Merge Sort algorithm can be used to compute the numerator in time.

Begin by ordering your data points sorting by the first quantity, , and secondarily (among ties in ) by the second quantity, .
With this initial ordering, is not sorted, and the core of the algorithm consists of computing how many steps a Bubble Sort
would take to sort this initial . An enhanced Merge Sort algorithm, with complexity, can be applied to compute the
number of swaps, , that would be required by a Bubble Sort to sort . Then the numerator for is computed as:

where is computed like and , but with respect to the joint ties in and .

A Merge Sort partitions the data to be sorted, into two roughly equal halves, and , then sorts each half recursive, and
then merges the two sorted halves into a fully sorted vector. The number of Bubble Sort swaps is equal to:

where and are the sorted versions of and , and characterizes the Bubble Sort swap-equivalent for a
merge operation. is computed as depicted in the following pseudo-code:
 function M(L[1..n], R[1..m])
i := 1
j := 1
nSwaps := 0
while i <= n and j <= m do
if R[j] < L[i] then
nSwaps := nSwaps + n - i + 1
j := j + 1
else
i := i + 1
return nSwaps

A side effect of the above steps is that you end up with both a sorted version of and a sorted version of . With these, the
factors and used to compute are easily obtained in a single linear-time pass through the sorted arrays.

Software Implementations
R's statistics base-package implements the test cor.test(x, y, method = "kendall") (http://stat.ethz.c
h/R-manual/R-patched/library/stats/html/cor.test.html) in its "stats" package (also cor(x, y, method =
"kendall") will work, but without returning the p-value).
For Python, the SciPy library implements the computation of in scipy.stats.kendalltau (https://web.archi
ve.org/web/20181008171919/https://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.kendalltau.html)

See also
Correlation
Kendall tau distance
Kendall's W
Spearman's rank correlation coefficient
Goodman and Kruskal's gamma
Theil–Sen estimator
Mann–Whitney U test - it is equivalent to Kendall's tau correlation coefficient if one of the variables is binary.

References
1. Kendall, M. (1938). "A New Measure of Rank Correlation". Biometrika. 30 (1–2): 81–89. doi:10.1093/biomet/30.1-
2.81 (https://doi.org/10.1093%2Fbiomet%2F30.1-2.81). JSTOR 2332226 (https://www.jstor.org/stable/2332226).
2. Kruskal, W.H. (1958). "Ordinal Measures of Association". Journal of the American Statistical Association. 53
(284): 814–861. doi:10.2307/2281954 (https://doi.org/10.2307%2F2281954). JSTOR 2281954 (https://www.jstor.
org/stable/2281954). MR 0100941 (https://www.ams.org/mathscinet-getitem?mr=0100941).
3. Nelsen, R.B. (2001) [1994], "Kendall tau metric" (https://www.encyclopediaofmath.org/index.php?title=K/k13002
0), in Hazewinkel, Michiel (ed.), Encyclopedia of Mathematics, Springer Science+Business Media B.V. / Kluwer
Academic Publishers, ISBN 978-1-55608-010-4
4. Prokhorov, A.V. (2001) [1994], "Kendall coefficient of rank correlation" (https://www.encyclopediaofmath.org/inde
x.php?title=K/k055200), in Hazewinkel, Michiel (ed.), Encyclopedia of Mathematics, Springer Science+Business
Media B.V. / Kluwer Academic Publishers, ISBN 978-1-55608-010-4
5. Agresti, A. (2010). Analysis of Ordinal Categorical Data (Second ed.). New York: John Wiley & Sons. ISBN 978-
0-470-08289-8.
6. IBM (2016). IBM SPSS Statistics 24 Algorithms (http://www-01.ibm.com/support/docview.wss?uid=swg27047033
#en). IBM. p. 168. Retrieved 31 August 2017.
7. Berry, K. J.; Johnston, J. E.; Zahran, S.; Mielke, P. W. (2009). "Stuart's tau measure of effect size for ordinal
variables: Some methodological considerations". Behavior Research Methods. 41 (4): 1144–1148.
doi:10.3758/brm.41.4.1144 (https://doi.org/10.3758%2Fbrm.41.4.1144). PMID 19897822 (https://www.ncbi.nlm.ni
h.gov/pubmed/19897822).
 8. Stuart, A. (1953). "The Estimation and Comparison of Strengths of Association in Contingency Tables".
Biometrika. 40 (1–2): 105–110. doi:10.2307/2333101 (https://doi.org/10.2307%2F2333101). JSTOR 2333101 (htt
ps://www.jstor.org/stable/2333101).
9. Knight, W. (1966). "A Computer Method for Calculating Kendall's Tau with Ungrouped Data". Journal of the
American Statistical Association. 61 (314): 436–439. doi:10.2307/2282833 (https://doi.org/10.2307%2F2282833).
JSTOR 2282833 (https://www.jstor.org/stable/2282833).

Further reading
Abdi, H. (2007). "Kendall rank correlation" (http://www.utdallas.edu/~herve/Abdi-KendallCorrelation2007-pretty.pd
f) (PDF). In Salkind, N.J. (ed.). Encyclopedia of Measurement and Statistics. Thousand Oaks (CA): Sage.
Daniel, Wayne W. (1990). "Kendall's tau" (https://books.google.com/books?id=0hPvAAAAMAAJ&pg=PA365).
Applied Nonparametric Statistics (2nd ed.). Boston: PWS-Kent. pp. 365–377. ISBN 978-0-534-91976-4.
Kendall, Maurice; Gibbons, Jean Dickinson (1990) [First published 1948]. Rank Correlation Methods. Charles
Griffin Book Series (5th ed.). Oxford: Oxford University Press. ISBN 978-0195208375.
Bonett, Douglas G.; Wright, Thomas A. (2000). "Sample size requirements for estimating Pearson, Kendall, and
Spearman correlations". Psychometrika. 65 (1): 23–28. doi:10.1007/BF02294183 (https://doi.org/10.1007%2FBF
02294183).

External links
Tied rank calculation (http://www.statsdirect.com/help/nonparametric_methods/kend.htm)
Software for computing Kendall's tau on very large datasets (http://law.di.unimi.it/software/law-docs/it/unimi/dsi/la
w/stat/KendallTau.html)
Online software: computes Kendall's tau rank correlation (http://www.wessa.net/rwasp_kendall.wasp)
The CORR Procedure: Statistical Computations – McDonough School of Business (http://technology.msb.edu/ol
d/training/statistics/sas/books/pguide/zompmeth.htm)

Retrieved from "https://en.wikipedia.org/w/index.php?title=Kendall_rank_correlation_coefficient&oldid=921851634"

This page was last edited on 18 October 2019, at 09:42 (UTC).

Text is available under the Creative Commons Attribution-ShareAlike License; additional terms may apply. By using
this site, you agree to the Terms of Use and Privacy Policy. Wikipedia® is a registered trademark of the Wikimedia
Foundation, Inc., a non-profit organization.