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: |
Description
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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