Kendall's Tau-b

The correlation between two variables, $x$ and $y$, is:

$\tau_b = \frac{n_c-n_d}{\sqrt{(n_t-n_x)(n_t-n_y)}}$

where

$n_c = \sum^n_{i=1} \sum^n_{j=1} w_i (I_{x_i>x_j,y_i>y_j}+I_{x_i>x_j,y_i>y_j} )$,

$n_d = \sum^n_{i=1} \sum^n_{j=1} w_i ( I_{x_i<x_j,y_i>y_j}+I_{x_i>x_j,y_i<y_j})$,

$n_w = \sum^n_{i=1} w_i$,

$n_t =\frac{n_w(n_w-1)}{2}$,

$n_x = \sum^t_{j=1} \sum^n_{i=n} w_i I_{x_i=j}$,

$n_y = \sum^r_{j=1} \sum^n_{i=n} w_i I_{y_i=j}$,

$w_i$ is the Calibrated Weight for the $i$th of $n$ is the number of observations,

$x$ is a variable with $t$ unique values, categorised in the range ${{1,2,..,t}}$,

$y$ is a variable with $r$ unique values, categorised in the range ${{1,2,..,r}}$,

The tests statistic is:

$z = {n_c - n_d \over \sqrt{ v } }$

where

$v = (v_0 - v_x - v_y)/18 + v_1 + v_2$,

$v_0 = n (n-1) (2n+5)$,

$v_x = \sum_j t_{xj} (t_{xj}-1) (2 t_{xj} + 5)$,

$v_y = \sum_j t_{yj} t_{yj}-1) (2 t_{yj} + 5)$,

$v_1 = \sum^r_{j=1} t_{xj}(t_{xj}-1)(t_{xj}-2)$,

$v_2 = \sum^t_{j=1} t_{yj}(t_{yj}-1)(t_{yj}-2)$,

$v_3 = (v1 v2) / (9 n_w (n_w - 1) (n_w - 2))$,

$v_4 = \sum^r_{j=1} t_{xj}(t_{xj}-1)$,

$v_5 = \sum^t_{j=1} t_{yj}(t_{yj}-1)$,

$v_6 = (v_4 v_5) / (2 n_w (n_w - 1))$,

$\hat{\sigma} = (v_0 - v_x - v_y) / 18 + v3 + v6$,

$z = \frac{n_c - n_d}{\hat{\sigma}}$,

$p \approx 2(1-\Phi(|z|))$

See also

Correlations - Comparing Two Numeric Variables