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arXiv · 2206.04019

Simultaneous computation of Kendall's tau and its jackknife variance

Samuel Perreault
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Abstract

We present efficient algorithms for simultaneously computing Kendall's tau and the jackknife estimator of its variance. For the classical pairwise tau, we describe a modification of Knight's algorithm (originally designed to compute only tau) that does so while preserving its $O(n \log_2 n)$ runtime in the number of observations $n$. We also introduce a novel algorithm computing a multivariate extension of tau and its jackknife variance in $O(n \log_2^p n)$ time.

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Samuel Perreault. 2022-06-08. Simultaneous computation of Kendall's tau and its jackknife variance. https://doi.org/10.1016/j.spl.2024.110181

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