[Rd] Kendall's Tau should use Continuity Correction (PR#13691)

[dsimcha at yahoo.com]

Full_Name: David Simcha
Version: 2.9.0
OS: WinXP
Submission from: (NULL) (96.234.244.142)


> cor.test(c(1,2,3,4,5), c(8,6,7,5,3), method = "kendall")

        Kendall's rank correlation tau

data:  c(1, 2, 3, 4, 5) and c(8, 6, 7, 5, 3) 
T = 1, p-value = 0.08333
alternative hypothesis: true tau is not equal to 0 
sample estimates:
 tau 
-0.8 

> cor.test(c(1,2,3,4,5), c(8,6,7,5,3), method = "kendall", exact = FALSE)

        Kendall's rank correlation tau

data:  c(1, 2, 3, 4, 5) and c(8, 6, 7, 5, 3) 
z = -1.9596, p-value = 0.05004
alternative hypothesis: true tau is not equal to 0 
sample estimates:
 tau 
-0.8 

It appears that R's implementation of Kendall's Tau does not use any type of
continuity correction, producing very bad results when exact P-values are not
used.