The correlation matrix of n random variables X1, ..., Xn is the n × n matrix whose i,j entry is corr(Xi, Xj), the correlation between X1 and Xn.
The Kendall rank correlation coefficient, commonly referred to as Kendall's tau (τ) coefficient, is a statistic used to measure the association between two measured quantities.
Spearman's rank correlation coefficient or Spearman's rho is a non-parametric measure of statistical dependence between two variables.
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