Hello

Where may I find the code for the Kendall correlation?, preferably a fast version

thanks

[aaa]

Hello

http://en.wikipedia.org/wiki/Kendall...on_coefficient

The Kendall τ coefficient is defined as:



Algorithms pseudo-code

numer := 0;
for i:=1..N do
for j:=1..(i-1) do
numer := numer + sgn(x_i-x_j)*sgn(y_i-y_j);
return numer;

************************* ***

M(L,R) :=
{
n := |L| + |R|;
i := 1;
j := 1;
nSwaps := 0;
while (i+j <= n) do (
if i>|L| or R[j] < L[i] then
nSwaps := nSwaps + |L|- (i-1);
j := j + 1;
else
i := i + 1;
end if
);
return nSwaps;
}