title: Variances and Covariances of Kendall's Tau and Their Estimation.
abstract: We generalize the formulas derived by Daniels and Kendall (1947) for the variance of the sample tau correlation. It is assumed that multivariate data are sampled from a population, and sample taus between pairs of variables are being used to estimate their population counterparts. Expressions for the variance of tau-a are generalized to allow for ties on either variable, and we further provide an expression for the covariance between two taus, including the special case where there is a variable in common. Unbiased estimators of the variance and the covariances are also derived for use in small samples. The variances and covariances of tau-a are used to provide asymptotic variances for tau-b and Somers' d.
authors.forename: N
authors.initials: N
authors.lastname: Cliff
authors.forename: V
authors.initials: V
authors.lastname: Charlin