[SciPy-dev] Possible Error in Kendall's Tau (scipy.stats.stats.kendalltau)

[Sturla Molden]

> On Tue, Mar 17, 2009 at 6:10 PM,  <josef.pktd at gmail.com> wrote:

> I saw it mentioned somewhere, that Kendall's tau is the correlation
> coefficient of pairwise ranking indicators.

By definition, given a joint probability distribution f(x,y),

   tau = 2 * Probability{ (x1-x2)*(y1-y2) > 0 } - 1

where (x1,y1) and (x2,y2) are i.i.d. f(x,y).



Sturla Molden