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st: Re: Problem in modifying built-in ktau.ado code (for Kendall's tau)
At 17:44 03/02/04 -0700, Mike Lacy wrote:
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
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.
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.
Lecturer in Medical Statistics
Department of Public Health Sciences
King's College London
5th Floor, Capital House
42 Weston Street
London SE1 3QD
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
Opinions expressed are those of the author, not the institution.
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