Kendall Tau Correlation

[skan 10]

Hello

 

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

 

thanks

[aaa 10]

Hello

 

http://en.wikipedia.org/wiki/Kendall_tau_rank_correlation_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 then

nSwaps := nSwaps + |L|- (i-1);

j := j + 1;

else

i := i + 1;

end if

);

return nSwaps;

}