Kendall's Tau tests and update

fslaborg / FSharp.Stats

statistical testing, linear algebra, machine learning, fitting and signal processing in F#

https://fslab.org/FSharp.Stats/

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Kendall's Tau tests and update #328

Closed kevmal closed 1 month ago

kevmal commented 2 months ago

Closes #90

Adds kendallTauA, kendallTauB, kendallTauC
Rewrite of Seq.kendall to O(n log n) algo
Seq.kendall is an alias for Seq.kendallTauB
Additional unit tests across kendall, pearson, spearman (calculated with R)
Not all unit tests pass with original kendall but pass with rewrite

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[x] The project builds without problems on your machine

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[x] Added unit tests regarding the added features

bvenn commented 2 months ago

Thank you for taking care of this old issue! Now that you have obviously spent some time dealing with kendall variants and their differences, it would be great if you could write 1-2 sentences about each variant in the docs. If you don't have time, I can also collect the information from your XML comments and add them to the correlation docs.