Hi everyone, I need to write a program that will calculate a non-parametric correlation between two time series. The series' length is usually about 1000 points.
Let's say for Spearman's rho the minimal cost of calculation equals the number of data points N. I will also need to compute the p-value. If I use randomization to determine the p-value, and there are P permutations, then the cost is N*P operations. I understand that the more robust statistic is Kendall's tau (or, in this case, its variant, Somer's D), but the cost is N-square/2. The question is this: can I select a limited number of random pairs to calculate a valid estimate of Kendall's tau? Thanks in advance. . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
