WS10 Kendall Tau

*The author of this computation has been verified*

R Software Module: Patrick.Wessa/rwasp_pairs.wasp (opens new window with default values)

Title produced by software: Kendall tau Correlation Matrix

Date of computation: Sat, 11 Dec 2010 16:12:10 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2010/Dec/11/t1292083840fne7ogxtbcxv1bu.htm/, Retrieved Sat, 11 Dec 2010 17:10:42 +0100

BibTeX entries for LaTeX users:

@Manual{KEY, author = {{YOUR NAME}}, publisher = {Office for Research Development and Education}, title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2010/Dec/11/t1292083840fne7ogxtbcxv1bu.htm/}, year = {2010}, } @Manual{R, title = {R: A Language and Environment for Statistical Computing}, author = {{R Development Core Team}}, organization = {R Foundation for Statistical Computing}, address = {Vienna, Austria}, year = {2010}, note = {{ISBN} 3-900051-07-0}, url = {http://www.R-project.org}, }

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

25.94 23688100 39.18 3940.35 0.02740 144.7 5.45 28.66 13741000 35.78 4696.69 0.03220 140.8 5.73 33.95 14143500 42.54 4572.83 0.03760 137.1 5.85 31.01 16763800 27.92 3860.66 0.03070 137.7 6.02 21.00 16634600 25.05 3400.91 0.03190 144.7 6.27 26.19 13693300 32.03 3966.11 0.03730 139.2 6.53 25.41 10545800 27.95 3766.99 0.03660 143.0 6.54 30.47 9409900 27.95 4206.35 0.03410 140.8 6.5 12.88 39182200 24.15 3672.82 0.03450 142.5 6.52 9.78 37005800 27.57 3369.63 0.03450 135.8 6.51 8.25 15818500 22.97 2597.93 0.03450 132.6 6.51 7.44 16952000 17.37 2470.52 0.03390 128.6 6.4 10.81 24563400 24.45 2772.73 0.03730 115.7 5.98 9.12 14163200 23.62 2151.83 0.03530 109.2 5.49 11.03 18184800 21.90 1840.26 0.02920 116.9 5.31 12.74 20810300 27.12 2116.24 0.03270 109.9 4.8 9.98 12843000 27.70 2110.49 0.03620 116.1 4.21 11.62 13866700 29.23 2160.54 0.03250 118.9 3.97 9.40 15119200 26.50 2027.13 0.02720 116.3 3.77 9.27 8301600 22.84 1805.43 0.02720 114.0 3.65 7.76 14039600 20.49 1498.80 0.02650 etc...

Output produced by software:

Enter (or paste) a matrix (table) containing all data (time) series. Every column represents a different variable and must be delimited by a space or Tab. Every row represents a period in time (or category) and must be delimited by hard returns. The easiest way to enter data is to copy and paste a block of spreadsheet cells. Please, do not use commas or spaces to seperate groups of digits! Summary of computational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 3 seconds R Server 'Gwilym Jenkins' @ 72.249.127.135 Correlations for all pairs of data series (method=kendall) APPLE VOLUME MICROSOFT NASDAQ INFLATION CONS.CONF FED.FUNDS.RATE APPLE 1 0.451 0.349 0.366 0.028 -0.232 -0.104 VOLUME 0.451 1 0.22 0.327 0.219 -0.034 0.134 MICROSOFT 0.349 0.22 1 0.627 0.236 0.205 0.301 NASDAQ 0.366 0.327 0.627 1 0.328 0.301 0.434 INFLATION 0.028 0.219 0.236 0.328 1 0.247 0.422 CONS.CONF -0.232 -0.034 0.205 0.301 0.247 1 0.655 FED.FUNDS.RATE -0.104 0.134 0.301 0.434 0.422 0.655 1 Correlations for all pairs of data series with p-values pair Pearson r Spearman rho Kendall tau APPLE;VOLUME 0.4177 0.657 0.4509 p-value (0) (0) (0) APPLE;MICROSOFT 0.3235 0.4806 0.3489 p-value (2e-04) (0) (0) APPLE;NASDAQ 0.129 0.4773 0.3665 p-value (0.1436) (0) (0) APPLE;INFLATION -0.163 0.0099 0.0283 p-value (0.0638) (0.9113) (0.6334) APPLE;CONS.CONF -0.5898 -0.4087 -0.2318 p-value (0) (0) (1e-04) APPLE;FED.FUNDS.RATE -0.2913 -0.1938 -0.1041 p-value (8e-04) (0.0272) (0.0806) VOLUME;MICROSOFT 0.215 0.3204 0.22 p-value (0.014) (2e-04) (2e-04) VOLUME;NASDAQ 0.171 0.4616 0.3269 p-value (0.0517) (0) (0) VOLUME;INFLATION 0.2967 0.3365 0.2191 p-value (6e-04) (1e-04) (2e-04) VOLUME;CONS.CONF -0.13 -0.0633 -0.0344 p-value (0.1404) (0.4745) (0.5622) VOLUME;FED.FUNDS.RATE 0.2256 0.2268 0.1344 p-value (0.0099) (0.0095) (0.0241) MICROSOFT;NASDAQ 0.768 0.8016 0.6273 p-value (0) (0) (0) MICROSOFT;INFLATION 0.3221 0.3425 0.2363 p-value (2e-04) (1e-04) (1e-04) MICROSOFT;CONS.CONF 0.3349 0.2753 0.2045 p-value (1e-04) (0.0015) (6e-04) MICROSOFT;FED.FUNDS.RATE 0.4382 0.4049 0.3006 p-value (0) (0) (0) NASDAQ;INFLATION 0.3601 0.494 0.3282 p-value (0) (0) (0) NASDAQ;CONS.CONF 0.5349 0.4205 0.3008 p-value (0) (0) (0) NASDAQ;FED.FUNDS.RATE 0.6486 0.6095 0.4338 p-value (0) (0) (0) INFLATION;CONS.CONF 0.4361 0.3664 0.2466 p-value (0) (0) (0) INFLATION;FED.FUNDS.RATE 0.548 0.6108 0.4216 p-value (0) (0) (0) CONS.CONF;FED.FUNDS.RATE 0.8133 0.8401 0.6546 p-value (0) (0) (0)

Charts produced by software:

http://www.freestatistics.org/blog/date/2010/Dec/11/t1292083840fne7ogxtbcxv1bu/1hwao1292083927.png (open in new window) http://www.freestatistics.org/blog/date/2010/Dec/11/t1292083840fne7ogxtbcxv1bu/1hwao1292083927.ps (open in new window)

Parameters (Session):

par1 = 1 ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;

Parameters (R input):

par1 = kendall ; par2 = Do not include Seasonal Dummies ; par3 = No Linear Trend ;

R code (references can be found in the software module):

panel.tau <- function(x, y, digits=2, prefix='', cex.cor) { usr <- par('usr'); on.exit(par(usr)) par(usr = c(0, 1, 0, 1)) rr <- cor.test(x, y, method=par1) r <- round(rr$p.value,2) txt <- format(c(r, 0.123456789), digits=digits)[1] txt <- paste(prefix, txt, sep='') if(missing(cex.cor)) cex <- 0.5/strwidth(txt) text(0.5, 0.5, txt, cex = cex) } panel.hist <- function(x, ...) { usr <- par('usr'); on.exit(par(usr)) par(usr = c(usr[1:2], 0, 1.5) ) h <- hist(x, plot = FALSE) breaks <- h$breaks; nB <- length(breaks) y <- h$counts; y <- y/max(y) rect(breaks[-nB], 0, breaks[-1], y, col='grey', ...) } bitmap(file='test1.png') pairs(t(y),diag.panel=panel.hist, upper.panel=panel.smooth, lower.panel=panel.tau, main=main) dev.off() load(file='createtable') n <- length(y[,1]) n a<-table.start() a<-table.row.start(a) a<-table.element(a,paste('Correlations for all pairs of data series (method=',par1,')',sep=''),n+1,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,' ',header=TRUE) for (i in 1:n) { a<-table.element(a,dimnames(t(x))[[2]][i],header=TRUE) } a<-table.row.end(a) for (i in 1:n) { a<-table.row.start(a) a<-table.element(a,dimnames(t(x))[[2]][i],header=TRUE) for (j in 1:n) { r <- cor.test(y[i,],y[j,],method=par1) a<-table.element(a,round(r$estimate,3)) } a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable.tab') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Correlations for all pairs of data series with p-values',4,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'pair',1,TRUE) a<-table.element(a,'Pearson r',1,TRUE) a<-table.element(a,'Spearman rho',1,TRUE) a<-table.element(a,'Kendall tau',1,TRUE) a<-table.row.end(a) cor.test(y[1,],y[2,],method=par1) for (i in 1:(n-1)) { for (j in (i+1):n) { a<-table.row.start(a) dum <- paste(dimnames(t(x))[[2]][i],';',dimnames(t(x))[[2]][j],sep='') a<-table.element(a,dum,header=TRUE) rp <- cor.test(y[i,],y[j,],method='pearson') a<-table.element(a,round(rp$estimate,4)) rs <- cor.test(y[i,],y[j,],method='spearman') a<-table.element(a,round(rs$estimate,4)) rk <- cor.test(y[i,],y[j,],method='kendall') a<-table.element(a,round(rk$estimate,4)) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'p-value',header=T) a<-table.element(a,paste('(',round(rp$p.value,4),')',sep='')) a<-table.element(a,paste('(',round(rs$p.value,4),')',sep='')) a<-table.element(a,paste('(',round(rk$p.value,4),')',sep='')) a<-table.row.end(a) } } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

Privacy Policy

We may request personal information to be submitted to our servers in order to be able to:

• personalize online software applications according to your needs
• enforce strict security rules with respect to the data that you upload (e.g. statistical data)
• manage user sessions of online applications
• alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by