Statistics.Correlation.Kendall

Fast O(NlogN) implementation of Kendall's tau.

This module implements 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.