Kendall's Tau Test

KENDALLSTAUTEST(Range1, Range2, alpha, NewTableFlag)

• $Range1$ is the array of x values.
• $Range2$ is the array of y values.
• $alpha$ is the value from 0 to 1.
• $NewTableFlag$ is either TRUE or FALSE. TRUE for getting results in a new cube. FALSE will display results in the same cube.
  
  

DESCRIPTION

• It is a statistic test used to measure the ordinal association between two measured quantities.
• It is a measure of rank correlation: the similarity of the orderings of the data when ranked by each of the quantities.
• Kendall correlation between two variables will be high when observations have a similar rank.
• It will be low when observations have a dissimilar rank between the two variables.

Let (x1, y1), (x2, y2), …, (xn, yn) be a set of observations of the joint random variables X and Y respectively, such that all the values of $(x_{i})$ and $(y_{i})$ are unique.

concordant if $(x_{i}>x_{j})$ & $(y_{i}>y_{j})$ or $(x_{i}<x_{j})$ & $(y_{i}<y_{j})$
discordant if $(x_{i}>x_{j})$ & $(y_{i}<y_{j})$ or $(x_{i}<x_{j})$ & $(y_{i}>y_{j})$
neither if $(x_{i}=x_{j})$ or $(y_{i}=y_{j})$ (i.e. ties are not counted).

The Kendall's Tau statistic is:

$\tau =1-{\frac {4D}{n(n-1)}}$.

• C is the number of concordant pairs.
• D is the number of discordant pairs.
  
  

RESULT

• If number of values in a set is <15, critical tables are used to calculate $\tau$.
• If number of values in a set is >=15, Normal approximation is used for calculation.

* If Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle \tau}
 > critical value from the Kendall's Tau Critical table, then reject the null hypothesis that there is no correlation.
* else if, Failed to parse (MathML with SVG or PNG fallback (recommended for modern browsers and accessibility tools): Invalid response ("Math extension cannot connect to Restbase.") from server "https://wikimedia.org/api/rest_v1/":): {\displaystyle \tau}
 <critical value, correlation exists.

EXAMPLE

Spreadsheet

	A	B
1	80	5
2	78	23
3	60	25
4	53	48
5	85	17
6	84	8
7	73	4
8	79	26
9	81	11
10	75	19
11	68	14
12	72	35
13	58	29
14	92	3
15	65	24

=KENDALLSTAUTEST(A1:A15,B1:B15, 0.05, true)

KENDALL'S TAU TEST USING NORMAL APPROXIMATION

RANGE1 SORT	RANGE2 SORT	CONCORDANT	DISCORDANT
53	48	0	14
58	29	1	12
60	25	2	10
65	24	2	9
68	14	5	5
72	35	0	9
73	4	7	1
75	19	2	5
78	23	1	5
79	26	0	5
80	5	3	1
81	11	1	2
84	8	1	1
85	17	0	1
92	3	0	0

SUMMARY

VARIABLE	RESULT
COUNT	15
C	105
SUM CONCORDANT	25
SUM DISCORDANT	80
KENDALL'S TAU	-0.52381
STDERROR	0.19245
Z-VALUE	-2.7218
ZCRITICAL	1.95996
P-VALUE	0.00649
RESULT	REJECT NULL HYPOTHESIS, NO CORRELATION

• CONCLUSION: REJECT NULL HYPOTHESIS, NO CORRELATION