1. Nicole Seaman

    YouTube T5-06: Rank Correlations: Spearman's and Kendall's Tau

    In this video, we will briefly review the Pearson correlation coefficient. Of course, that's the most popular measure of correlation, but mostly just so we have a baseline to compare to the two measures of rank correlations. Specifically, we will look at the Spearman's rank correlation and...
  2. David Harper CFA FRM

    Potential error in P2.T5. MR-9: 3.2.3. Kendall's tau and concordant/discordant pairs

    I wrote to Meissner (I don't see an errata yet for his new book, which is excellent) that I think the example for (3.2.3) Kendall's tau is incorrect. He shows five (x,y) pairs. Five (X,Y) sets implies 10 pairs (of X,Y pairs). 10 is the "triangle number" for 4 = (n-5), see...