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@andreasnoack
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I also think we should remove the cov_spearman methods. Are you aware of any applications?

@johnmyleswhite
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Looks good to me. I'm not aware of any use cases for the rank order covariance.

… with dimension argument. Add Kendall's rank correlation. Enable tests.
@andreasnoack
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I have now removed Spearman rank covariance functions and added Kendall's rank correlation functions. Please notice that the latter is a rather fast implementation. For two vectors of length 50 000

MATLAB:

>> tic;corr(a,b,'type','Kendall');toc
Elapsed time is 13.560623 seconds.

R:

> system.time(cor(a,b,method='kendall'))
  bruger   system forløbet 
  60.241    0.079   60.642 

Julia:

julia> @time cor_kendall(a,b);
elapsed time: 0.421725324 seconds (40951872 bytes allocated)

@johnmyleswhite
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Sweet.

@johnmyleswhite
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I say we merge this.

andreasnoack added a commit that referenced this pull request Aug 6, 2013
Fix Spearman's rank correlation to address #2. Remove tiedrank method with dimension argument. Add Kendall's rank correlation. Enable tests.
@andreasnoack andreasnoack merged commit 32b8504 into master Aug 6, 2013
@andreasnoack andreasnoack deleted the anj/fixspearman branch August 6, 2013 14:58
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3 participants