Kendall Rank Correlation Let (X1, Y1), · · · , (Xn, Yn) be a bivariate random sample of size n. The Pearson correlation coefficient provides an optimal measure of the degree of association between the X’s and the Y ’s when the sample is drawn from a bivariate normal distribution. The Pearson correlation coefficient is reasonably robust for many other distributions as well. The Kendall correlati...