Kendall's Tau-b

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The correlation between two variables, and , is:

where

,
,
,
,
,
,
is the Calibrated Weight for the th of is the number of observations,
is a variable with unique values, categorised in the range ,
is a variable with unique values, categorised in the range ,

The tests statistic is:

where

,
,
,
,
,
,
,
,
,
,
,
,

See also

Correlations - Comparing Two Numeric Variables