Rank Correlations: Spearman's and Kendall's Tau (FRM T5-06)

In this video, we will briefly review the Pearson correlation coefficient. Of course, that's the most popular measure of correlation, but mostly just so we have a baseline to compare to the two measures of rank correlations. Specifically, we will look at the Spearman's rank correlation and Kendall's tau rank correlation. These two are measures of ordinal correlation as opposed to a measure of cardinal correlation. In computing Kendall's tau, which has a formula that's easier to remember, we will have to count up the number of concordant versus discordant pairs.
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[@citizenobserver7066]

Thanks David!! This series really helps me to revise the FRM curriculum.. It is terse, yet covers all the details that should be remembered.

[@bionicturtle]

Glad to hear the videos are helpful!

[@friedrichsamuelmartinediso9194]

One of the best explainations ever seen!

[@CPanhchakmoni]

hope you also provide additional minutes for interpreting the coefficient as well, whether the strength is interpreted the same as Pearson or not. Thank you for a concise demonstration =D

[@sohuilee1936]

You are an amazing professor!! thank you so much :)))

[@seannguyen3260]

Thank you for the video. However, could you share the formula in Kendall's tau how to calculate N(C) and N(D) in your excel file please.

[@h-s7218]

Great video, thank you very much ! :)

[@ashutoshpandey1681]

thank you sir .

[@vaibhav402938]

Hi David
Can you please review the Kendall explanation for pairs. Seems it is not in sync with the FRM answers

[@thenivang]

Are you referring to KAPLAN material? I guess they have incorrectly calculated the types of pairs. I too have the same doubt myself.

[@vaibhav402938]

@@thenivang Yes

[@thenivang]

@@vaibhav402938 I saw few videos on calculation. And I think Kaplan has done some mistake w.r.t the calculation which is not yet updated in the notes.

[@bionicturtle]

Mine are correct (I'm using strict matrix math), Meissner's text has an error. He has agreed with me, see explainer here www.bionicturtle.com/forum/threads/potential-error-in-p2-t5-mr-9-3-2-3-kendalls-tau-and-concordant-discordant-pairs.8209/

[@thenivang]

Hi David,
Thanks for sharing the video. It was really helpful.
I need your guidance on one another video w.r.t to how to calculate the number of concordant and discordant pairs.
The link for the same:
ruclips.net/video/oXVxaSoY94k/видео.html
4:20 min onwards..
Basically what it does is
Step 1: Just goes on checking from the first row of y(i) till the last one for the number of times the Ranks is larger than themselves.
Step 2: Just sum all of it. And the same becomes the number of Concordant Pairs.
Would you please comment on the same.
Thanks once again.

[@user-hr2sc6mm4e]

Please add arabic translator to all video