[Rd] Fast Kendall's Tau

Prof Brian Ripley ripley at stats.ox.ac.uk
Wed Jun 27 07:24:12 CEST 2012

On 26/06/2012 22:44, Duncan Murdoch wrote:
> On 12-06-25 2:48 PM, Adler, Avraham wrote:
>> Hello.
>> Has any further action been taken regarding implementing David
>> Simcha's fast Kendall tau code (now found in the package pcaPP as
>> cor.fk) into R-base? It is literally hundreds of times faster,
>> although I am uncertain as to whether he wrote code for testing the
>> significance of the parameter. The last mention I have seen of this
>> was in
>> 2010<https://stat.ethz.ch/pipermail/r-devel/2010-February/056745.html>.
> You could check the NEWS file, but I don't remember anything being done
> along these lines.  If the code is in a CRAN package, there doesn't seem
> to be any need to move it to base R.

In addition, this is something very specialized, and the code in R is 
fast enough for all but the most unusual instances of that specialized 
task.  example(cor.fk) shows the R implementation takes well under a 
second for 2000 cases (a far higher value than is usual).

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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