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Kendall coefficient of rank correlation

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Kendall

One of the empirical measures of dependence of two random variables and based on ranking the elements of the sample . Thus, the Kendall coefficient is a rank statistic and is defined by the formula

where is rank of belonging to the pair for which the rank of is equal to , , being the number of elements of the sample for which and simultaneously. The inequality always holds. The Kendall coefficient of rank correlation has been extensively used (see [1]) as an empirical measure of dependence.

The Kendall coefficient of rank correlation is applied for testing hypotheses of independence of random variables. If the hypothesis of independence is true, then and . For small samples statistical testing of hypotheses of independence is carried out by means of special tables (see [3]). When the normal approximation for the distribution of is used: If

then the hypothesis of independence is rejected and the alternative is accepted. Here is the significance level, and is the -percent point of the normal distribution. The Kendall coefficient of rank correlation can be used for revealing dependence of two qualitative characteristics, provided that the elements of the sample can be ordered with respect to these characteristics. If , have a joint normal distribution with correlation coefficient , then its relation to the Kendall coefficient of rank correlation has the form

See also Spearman coefficient of rank correlation; Rank test.

References

[1] M.G. Kendall, "Rank correlation methods" , Griffin (1970)
[2] B.L. van der Waerden, "Mathematische Statistik" , Springer (1957)
[3] L.N. Bol'shev, N.V. Smirnov, "Tables of mathematical statistics" , Libr. math. tables , 46 , Nauka (1983) (In Russian) (Processed by L.S. Bark and E.S. Kedrova)
[4] E.S. Pearson, H.O. Hartley, "Biometrica tables for statisticians" , 1 , Cambridge Univ. Press (1956)
How to Cite This Entry:
Kendall coefficient of rank correlation. A.V. Prokhorov (originator), Encyclopedia of Mathematics. URL: http://www.encyclopediaofmath.org/index.php?title=Kendall_coefficient_of_rank_correlation&oldid=13189
This text originally appeared in Encyclopedia of Mathematics - ISBN 1402006098