Distribution of Kendall's tau
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The Kendall's tau, Tn, is the number of discordances in a
permutation,
(R1,R2,...,Rn), of the integers from
1 to n. A discordance occurs
if i is less than j and Ri is greater than Rj.
Here you can find the distribution
of Kendall's tau when the permutation is chosen at random
uniformly
over all n! permutations.
The statistic Tn takes values between 0 and n(n-1)/2 inclusive.
The mean of Tn is n(n-1)/4, and the variance is n(n+1)(2n+5)/72.
The distribution function of Tn is computed exactly for n<=25.
For n>25, a normal approximation with continuity correction is used.
For n>25, the maximum absolute error of the approximation is .001.