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Quantitative Finance · Glosarium

Apa itu Rank correlation, Spearman’s rho, Kendall’s tau?

Dikenal juga sebagai: rank correlation · Spearman's rank correlation · Kendall's tau

Definition 15.5 Quantitative Methods · Bab 15 — Robust Statistics and Heavy Tails

A rank correlation measures dependence through the ranks of the observations only, so that it is unchanged by increasing transformations of either variable. Spearman’s rank correlation is the correlation of the ranks. Kendall’s tau is the probability that two independent pairs are concordant minus the probability that they are discordant, τ=E[sign⁡((X−X′)(Y−Y′))]\tau = \E[\operatorname{sign}((X - X')(Y - Y'))].

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