kendallknight: An R Package for Efficient Implementation of Kendall's Correlation Coefficient Computation

Mauricio Vargas Sep\'ulveda

Papers from arXiv.org

Abstract: The kendallknight package introduces an efficient implementation of Kendall's correlation coefficient computation, significantly improving the processing time for large datasets without sacrificing accuracy. The kendallknight package, following Knight (1966) and posterior literature, reduces the computational complexity resulting in drastic reductions in computation time, transforming operations that would take minutes or hours into milliseconds or minutes, while maintaining precision and correctly handling edge cases and errors. The package is particularly advantageous in econometric and statistical contexts where rapid and accurate calculation of Kendall's correlation coefficient is desirable. Benchmarks demonstrate substantial performance gains over the base R implementation, especially for large datasets.

Date: 2024-08, Revised 2024-12
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