[Rd] Kendall's tau code

SeshanV at mskcc.org SeshanV at mskcc.org
Sun May 1 00:11:47 CEST 2011

Feel free to contact me.


From: Martin Maechler [maechler at stat.math.ethz.ch]
Sent: Saturday, April 30, 2011 5:05 PM
To: Seshan, Venkatraman E./Epidemiology-Biostatistics
Cc: r-devel at r-project.org
Subject: Re: [Rd] Kendall's tau code

>>>>> "S" == SeshanV  <SeshanV at mskcc.org>
>>>>>     on Sat, 30 Apr 2011 11:20:59 -0400 writes:

    > I discovered that the Kendall's tau calculation in R uses
    > all pairwise comparisons which is O(n^2) and takes a long time for
    > large vectors. I implemented a O(n*log(n)) algorithm based on
    > merge-sort. Is this of interest to be included in core R?

Yes, quite a bit of interest!

I know about the O(n^2) "feature" for quite a while, and it is
indeed a considerable problem in copula modelling which has
become an interest of mine in the recent year.

    > The code (fortran and R wrapper) is available in my package clinfun v0.9.7
    > (not exported in NAMESPACE).

Thank you! Yes, I see you've put them there quite recently.
I see the Fortran code uses modern allocate / deallocate
constructs (that I don't know).
As I think we'd want to use this in the C code which is also
        cor(*, method="kendall")
I'll eventually want a C version, not the least because we may
look into dealing with  NA 's in the same -- flexible -- way
that they are handled currently via the  'use = "..."'

I may contact you privately for more.
Thanks again,

Martin Maechler,
ETH Zurich (and R Core Team).

    >Thanks, Venkat

    > --
    > Venkatraman E. Seshan, Ph.D. | Attending Biostatistician
    > Director of Biostatistics Computer-Intensive Support Services
    > Department of Epidemiology and Biostatistics | MSKCC
    > 307 E 63rd St 3rd Floor | New York, NY 10065
    > Phone: 646-735-8126 | Fax: 646-735-0010

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