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From "Thomas Neidhart (JIRA)" <>
Subject [jira] [Resolved] (MATH-814) Kendalls Tau Implementation
Date Fri, 08 Nov 2013 15:11:18 GMT


Thomas Neidhart resolved MATH-814.

       Resolution: Fixed
    Fix Version/s:     (was: 4.0)

Resolving issue as there were no further comments.
For the common Correlation interface / case class please create a new issue.

> Kendalls Tau Implementation
> ---------------------------
>                 Key: MATH-814
>                 URL:
>             Project: Commons Math
>          Issue Type: New Feature
>    Affects Versions: 3.2
>         Environment: All
>            Reporter: devl
>            Assignee: Phil Steitz
>              Labels: correlation, rank
>             Fix For: 3.3
>         Attachments: kendalls-tau.patch
>   Original Estimate: 840h
>  Remaining Estimate: 840h
> Implement the Kendall's Tau which is a measure of Association/Correlation between ranked
ordinal data.
> A basic description is available at
however the test implementation will follow that defined by "Handbook of Parametric and Nonparametric
Statistical Procedures, Fifth Edition, Page 1393 Test 30, ISBN-10: 1439858012 | ISBN-13: 978-1439858011."
> The algorithm is proposed as follows. 
> Given two rankings or permutations represented by a 2D matrix; columns indicate rankings
(e.g. by an individual) and row are observations of each rank. The algorithm is to calculate
the total number of concordant pairs of ranks (between columns), discordant pairs of ranks
 (between columns) and calculate the Tau defined as
> tau= (Number of concordant - number of discordant)/(n(n-1)/2)
>  where n(n-1)/2 is the total number of possible pairs of ranks.
> The method will then output the tau value between -1 and 1 where 1 signifies a "perfect"
correlation between the two ranked lists. 
> Where ties exist within a ranking it is marked as neither concordant nor discordant in
the calculation. An optional merge sort can be used to speed up the implementation. Details
are in the wiki page.
> Although this implementation is not particularly complex it would be useful to have it
in a consistent format in the commons math package in addition to existing correlation tests.
Kendall's Tau is used effectively in comparing ranks for products, rankings from search engines
or measurements from engineering equipment.

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