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st: Re: Problem in modifying built-in ktau.ado code (for Kendall's tau)


From   Roger Newson <roger.newson@kcl.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Problem in modifying built-in ktau.ado code (for Kendall's tau)
Date   Wed, 04 Feb 2004 12:16:26 +0000

At 17:44 03/02/04 -0700, Mike Lacy wrote:
Greetings,

I need to calculate Kendall's tau as efficiently as possible on two continuous variables for each repetition in a large set of bootstrap experiments. Calculating Kendall's tau is slow, being of order (N^2)/2. My estimate is that using the built-in ktau.ado command, which is the fastest command to obtain Kendall's tau in Stata, the bootstrap experiments will take at least 10-15 days of dedicated time on a fast Wintel machine.
Kendall's tau is probably a textbook example of where Stata plugins might come into their own, especially if you are bootstrapping it. Details can be found at
http://www.stata.com/support/plugins/

My own -somersd- package (downloadable from SSC) calculates jackknife CIs for Kendall's tau-a and Somers' D, using formulas detailed it a manual downloadable from my website (see my signature). It also uses a quadratic algorithm without plugins, and sometimes provides an excuse for a coffee break if used on large (eg 10K) sets of continuous data, although it is very fast with discrete data.

I hope this helps.

Best wishes

Roger


--
Roger Newson
Lecturer in Medical Statistics
Department of Public Health Sciences
King's College London
5th Floor, Capital House
42 Weston Street
London SE1 3QD
United Kingdom

Tel: 020 7848 6648 International +44 20 7848 6648
Fax: 020 7848 6620 International +44 20 7848 6620
or 020 7848 6605 International +44 20 7848 6605
Email: roger.newson@kcl.ac.uk
Website: http://www.kcl-phs.org.uk/rogernewson

Opinions expressed are those of the author, not the institution.

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