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Simultaneous computation of Kendall’s tau and its jackknife variance

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  • Perreault, Samuel

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(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.

Suggested Citation

  • Perreault, Samuel, 2024. "Simultaneous computation of Kendall’s tau and its jackknife variance," Statistics & Probability Letters, Elsevier, vol. 213(C).
    • Handle: RePEc:eee:stapro:v:213:y:2024:i:c:s0167715224001500
    DOI: 10.1016/j.spl.2024.110181
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