SciPy

scipy.stats.mstats.kendalltau

scipy.stats.mstats.kendalltau(x, y, use_ties=True, use_missing=False)[source]

Computes Kendall’s rank correlation tau on two variables x and y.

Parameters:

x : sequence

First data list (for example, time).

y : sequence

Second data list.

use_ties : {True, False}, optional

Whether ties correction should be performed.

use_missing : {False, True}, optional

Whether missing data should be allocated a rank of 0 (False) or the average rank (True)

Returns:

tau : float

Kendall tau

prob : float

Approximate 2-side p-value.