Opened 9 years ago

#711 new enhancement

speed up exact p-value for small n in Kendall

Reported by: Peter Owned by: Peter
Priority: major Milestone: yat 0.x+
Component: statistics Version: trunk
Keywords: Cc:


Class Kendall currently uses a naive algorithm that parses through all N! permutations and calculates the score. Since the score calculation scales (N2, see #710) this becomes expensive for not very large N. It should be possible to calculate the P-value in an recursive fashion similar to ROC. statsdirect tabulates values for small N and then use an Egenworth expansion for larger N (approximation?).

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