The distribution of Kendall's tau for testing the significance of cross-correlation in persistent data

@inproceedings{Hamed2011TheDO,
  title={The distribution of Kendall's tau for testing the significance of cross-correlation in persistent data},
  author={Khaled H. Hamed},
  year={2011}
}
Abstract Kendall's tau (τ) has been widely used as a distribution-free measure of cross-correlation between two variables. It has been previously shown that persistence in the two involved variables results in the inflation of the variance of τ. In this paper, the full null distribution of Kendall's τ for persistent data with multivariate Gaussian dependence is derived, and an approximation to the full distribution is proposed. The effect of the deviation from the multivariate Gaussian… CONTINUE READING