Simultaneous computation of Kendall’s tau and its jackknife variance

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(nlog2n) runtime in th...

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Bibliographic Details
Published in:Statistics & probability letters 2024-10, Vol.213, p.110181, Article 110181
Main Author: Perreault, Samuel
Format: Article
Language:English
Subjects:
Concordance
Jackknife estimation
Rank correlation
Citations: Items that this one cites
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Summary: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(nlog2n) 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(nlog2pn) time.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2024.110181