Safe Haskell | None |
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Fast O(NlogN) implementation of Kendall's tau.
This module implementes Kendall's tau form b which allows ties in the data. This is the same formula used by other statistical packages, e.g., R, matlab.
$$tau = frac{n_c - n_d}{sqrt{(n_0 - n_1)(n_0 - n_2)}}$$
where $n_0 = n(n-1)/2$, $n_1 = number of pairs tied for the first quantify$, $n_2 = number of pairs tied for the second quantify$, $n_c = number of concordant pairs$, $n_d = number of discordant pairs$.
Documentation
kendall :: (Ord a, Ord b, Vector v (a, b)) => v (a, b) -> DoubleSource
O(nlogn) Compute the Kendall's tau from a vector of paired data. Return NaN when number of pairs <= 1.
References
- William R. Knight. (1966) A computer method for calculating Kendall's Tau with ungrouped data. Journal of the American Statistical Association, Vol. 61, No. 314, Part 1, pp. 436-439. http://www.jstor.org/pss/2282833