About
tldr; This package implements a different algorithm from the one implemented in base R, and it reduces the complexity of the Kendall’s correlation coefficient from O(n^2) to O(n log n) resulting in a runtime of nano seconds or minutes instead of minutes or hours. This package is written in C++ and uses cpp11 to export the functions to R. See the vignette for the mathematical details.
If this software is useful to you, please consider donating on Buy Me A Coffee. All donations will be used to continue improving kendallknight.
Installation
You can install the released version of kendallknight from CRAN with:
install.packages("kendallknight")You can install the development version of kendallknight like so:
remotes::install_github("pachadotdev/kendallknight")Examples
See the documentation: https://pacha.dev/kendallknight/.
Benchmarks
We tested the kendallknight package against the base R implementation of the Kendall correlation using the cor function with method = "kendall" for randomly generated vectors of different lengths. The results are shown in the following table:
| Number of observations | kendallknight median time (s) | base R median time (s) |
|---|---|---|
| 10,000 | 0.003 | 1.251 |
| 20,000 | 0.010 | 5.313 |
| 30,000 | 0.011 | 11.002 |
| 40,000 | 0.014 | 19.578 |
| 50,000 | 0.017 | 30.509 |
| 60,000 | 0.021 | 43.670 |
| 70,000 | 0.024 | 61.310 |
| 80,000 | 0.029 | 77.993 |
| 90,000 | 0.031 | 98.614 |
| 100,000 | 0.035 | 121.552 |
| Number of observations | kendallknight memory allocation (MB) | base R memory allocation (MB) |
|---|---|---|
| 10,000 | 1.257 | 0.812 |
| 20,000 | 2.061 | 1.450 |
| 30,000 | 3.091 | 2.175 |
| 40,000 | 4.121 | 2.900 |
| 50,000 | 5.151 | 3.625 |
| 60,000 | 6.181 | 4.350 |
| 70,000 | 7.211 | 5.074 |
| 80,000 | 8.241 | 5.799 |
| 90,000 | 9.271 | 6.524 |
| 100,000 | 10.301 | 7.249 |
In order to avoid distorted results, we used the bench package to run the benchmarking tests in a clean R session and in the Niagara supercomputer cluster that, unlike personal computers, will not distort the test results due to other processes running in the background (e.g., such as automatic updates).
Testing
The package uses testthat for testing [@wickham2011]. The included tests are exhaustive and covered the complete code to check for correctness comparing with the base R implementation, checking corner cases, and forcing errors by passing unusable input data to the user-visible functions.
Code of Conduct
Please note that the kendallknight project is released with a Contributor Code of Conduct. By contributing to this project, you agree to abide by its terms.
