Alternative measures of association
Kendall’s Tau
- Measures strength of monotonic association
- Rank based and so it is resistant to outliers
- Based on number of times y’s increase as x’s increase
Tau = S / [ n(n-1)/2 ]
where S = P - M
P is the number of times y increases when x increases
M is the number of times y decreases when x increases
Based on all pairs of yi, yj for i>j, as ranked by x