Rank Correlation - General Correlation Coefficient

General Correlation Coefficient

Kendall (1944) showed that his tau and Spearman's rho are particular cases of a general correlation coefficient.

Suppose we have a set of objects, which are being considered in relation to two properties, represented by and, forming the sets of values and . To any pair of individuals, say the -th and the -th we assign a -score, denoted by, and a -score, denoted by . The only requirement made to this functions is anti-symmetry, so and . Then the generalised correlation coefficient is defined by

Read more about this topic:  Rank Correlation

Famous quotes containing the word general:

    Pleasure is necessarily reciprocal; no one feels it who does not at the same time give it. To be pleased, one must please. What pleases you in others, will in general please them in you.
    Philip Dormer Stanhope, 4th Earl Chesterfield (1694–1773)