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kendall tau correlation coefficient

Kendall's rank correlation provides a distribution free test of independence and a measure of the strength of dependence between two variables. 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. Kendall rank correlation is a non-parametric test that measures the strength of dependence between two variables. If we consider two samples, a and b, where each sample size is n, we know that the total number of pairings with a b is n(n-1)/2. The following formula is used to calculate the value of Kendall rank correlation:

kendall tau correlation

where Nc is number of concordant and Nd is Number of discordant

Paste 2-columns data here (obs vs. sim). In format of excel, text, etc. Separate it with space:

kendall tau coefficient: