kendalls 0.2.0

Kendall's tau rank correlation. At this point this is basically a copy-paste from Apache Commons Math library with some additions taken from scipy and R cor.test function

Example usage:

let res = kendalls::tau_b(&[1, 2, 3], &[3, 4, 5]);
assert_eq!(res, Ok((1.0, 1.5666989036012806)));

If you want to compute correlation, let's say, for f64 type, then you will have to provide either a custom comparator function or declare Ord trait for your custom floating point numbers type (see float crate).

use std::cmp::Ordering;

let (tau_b, _) = kendalls::tau_b_with_comparator(
&[1.0, 2.0],
&[3.0, 4.0],
|a: &f64, b: &f64| a.partial_cmp(&b).unwrap_or(Ordering::Greater),
).unwrap();
assert_eq!(tau_b, 1.0);

The function will return an error if you pass empty arrays into it or x and y arrays' dimensions are not equal.