A nonparametric measure of the association between two sets of rankings. It is an alternative to the Spearman rank correlation. Siegel and Castellan (1988) describe this measure and its power. This statistic is useful for comparing methods when the number of forecasts is small, the distribution of the errors is unknown, or outliers exist, such as with financial data. (See statistical significance.)
- Siegel, S. & N. J. Castellan, Jr. (1988),
*Nonparametric Statistics for the Behavioral Sciences*, 2^{nd} ed.
New York: McGraw-Hill.