Function Reference
— Function File: kendall (x, y)

Compute Kendall's tau for each of the variables specified by the input arguments.

For matrices, each row is an observation and each column a variable; vectors are always observations and may be row or column vectors.

kendall (x) is equivalent to kendall (x, x).

For two data vectors x, y of common length n, Kendall's tau is the correlation of the signs of all rank differences of x and y; i.e., if both x and y have distinct entries, then

in which the are the ranks of x and y, respectively.

If x and y are drawn from independent distributions, Kendall's tau is asymptotically normal with mean 0 and variance (2 * (2n+5)) / (9 * n * (n-1)).