O(N log N) Kendall Tau
David Simcha wrote:
I've noticed that the implementation of Kendall's Tau in R is O(N^2). The following reference describes how it can be done in O(N log N): A Computer Method for Calculating Kendall's Tau with Ungrouped Data William R. Knight Journal of the American Statistical Association, Vol. 61, No. 314, Part 1 (Jun., 1966), pp. 436-439 http://www.jstor.org/pss/2282833 I'm interested in contributing an implementation of this algorithm to R. However, I have a few questions: 1. Would it likely be accepted if well-implemented? 2. cov.c in the main/ directory of the R source tree seems to contain at least 4 different but nearly identical implementations of Kendall's Tau: cov_complete1, cov_complete2, cov_na1, and cov_na2. I can't tell why. The file is very difficult to read because of its lack of comments, (ab)use of macros and improper indentation. As I will probably need to modify this file, can some seasoned veteran please explain what the heck is going on in this file?
Well, it is not that hard to find that the functions you mentioned are all used (for different cases) in the main function do_cov that is called by R's cov() function. Given you provide a well tested implementation based on a published algorithm that is numerically as stable as the method already implemented in R, including all features, and gives identical results, I think it is very likely that your implementation will replace the one that is currently used in R. Best, Uwe Ligges
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