Add Kendall Rank Correlation Coefficient (Kendall's tau) (#1271)

* wip * WIP: Overhaul * Do some polishing * WIP: Add class metric + another refactor * Add sorting for the other sequence to calcualte ties properly * Add hypothesis testing + links to docs * chlog * WIP: Add some tests * Fix dimension handling * Fix doctest * Add some docs + handle some mypy errors * Update docs + fix some mypy errors * Re-run mypy * Refactor: Separate calculate tau method * Refactor + Add variant c * Refactor: Internally, represent metric variant as enumerate * Add variant 'c' * Update docs * Fix a typo * Add testing for ddp=True and dist_sync_on_step=True options * Fix doctest * . * Fix tests for scipy<1.8.0 * Fix some stuff in docs * Add missing device placement * Fix some nits + add t-test examples to docs * Refactor: Move _check_data_shape_for_corr_coef to utils file * Fix a typo * Fix docs example for class metric * Try to fix docs * . * Use different link to check if works * sphinx: Ignore jstor link for linkcheck as cannot be accesed from python * Apply suggestions from code review Co-authored-by: Nicki Skafte Detlefsen <skaftenicki@gmail.com> Co-authored-by: Jirka Borovec <Borda@users.noreply.github.com>
Lightning-AI · Nov 3, 2022 · ec27df1 · ec27df1
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -16,6 +16,9 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - Added option to pass `distributed_available_fn` to metrics to allow checks for custom communication backend for making `dist_sync_fn` actually useful ([#1301](https://github.com/Lightning-AI/metrics/pull/1301))
 
 
+- Added `KendallRankCorrCoef` to regression package ([#1271](https://github.com/Lightning-AI/metrics/pull/1271))
+
+
 ### Changed
 
 - Changed `MeanAveragePrecision` to vectorize `_find_best_gt_match` operation ([#1259](https://github.com/Lightning-AI/metrics/pull/1259))

diff --git a/docs/source/conf.py b/docs/source/conf.py
@@ -385,3 +385,7 @@ def find_source():
 
 """
 coverage_skip_undoc_in_source = True
+
+linkcheck_ignore = [
+    "https://www.jstor.org/stable/2332303"  # jstor cannot be accessed from python, but link work fine in a local doc
+]
diff --git a/docs/source/links.rst b/docs/source/links.rst
@@ -93,3 +93,5 @@
 .. _AB divergence: https://pdfs.semanticscholar.org/744b/1166de34cb099100f151f3b1459f141ae25b.pdf
 .. _Rényi divergence: https://static.renyi.hu/renyi_cikkek/1961_on_measures_of_entropy_and_information.pdf
 .. _Fisher-Rao distance: http://www.scholarpedia.org/article/Fisher-Rao_metric
+.. _Kendall Rank Correlation Coefficient: https://en.wikipedia.org/wiki/Kendall_rank_correlation_coefficient
+.. _The Treatment of Ties in Ranking Problems: https://www.jstor.org/stable/2332303
diff --git a/docs/source/regression/kendall_rank_corr_coef.rst b/docs/source/regression/kendall_rank_corr_coef.rst
@@ -0,0 +1,22 @@
+.. customcarditem::
+   :header: Kendall Rank Correlation Coefficient
+   :image: https://pl-flash-data.s3.amazonaws.com/assets/thumbnails/tabular_classification.svg
+   :tags: Regression
+
+.. include:: ../links.rst
+
+#######################
+Kendal Rank Corr. Coef.
+#######################
+
+Module Interface
+________________
+
+.. autoclass:: torchmetrics.KendallRankCorrCoef
+    :noindex:
+
+Functional Interface
+____________________
+
+.. autofunction:: torchmetrics.functional.kendall_rank_corrcoef
+    :noindex:
diff --git a/src/torchmetrics/__init__.py b/src/torchmetrics/__init__.py
@@ -57,6 +57,7 @@
     ConcordanceCorrCoef,
     CosineSimilarity,
     ExplainedVariance,
+    KendallRankCorrCoef,
     KLDivergence,
     MeanAbsoluteError,
     MeanAbsolutePercentageError,
@@ -129,6 +130,7 @@
     "HammingDistance",
     "HingeLoss",
     "JaccardIndex",
+    "KendallRankCorrCoef",
     "KLDivergence",
     "MatchErrorRate",
     "MatthewsCorrCoef",

diff --git a/src/torchmetrics/functional/__init__.py b/src/torchmetrics/functional/__init__.py
@@ -49,6 +49,7 @@
 from torchmetrics.functional.regression.concordance import concordance_corrcoef
 from torchmetrics.functional.regression.cosine_similarity import cosine_similarity
 from torchmetrics.functional.regression.explained_variance import explained_variance
+from torchmetrics.functional.regression.kendall import kendall_rank_corrcoef
 from torchmetrics.functional.regression.kl_divergence import kl_divergence
 from torchmetrics.functional.regression.log_mse import mean_squared_log_error
 from torchmetrics.functional.regression.mae import mean_absolute_error
@@ -112,6 +113,7 @@
     "hinge_loss",
     "image_gradients",
     "jaccard_index",
+    "kendall_rank_corrcoef",
     "kl_divergence",
     "match_error_rate",
     "matthews_corrcoef",

diff --git a/src/torchmetrics/functional/regression/__init__.py b/src/torchmetrics/functional/regression/__init__.py
@@ -14,6 +14,7 @@
 from torchmetrics.functional.regression.concordance import concordance_corrcoef  # noqa: F401
 from torchmetrics.functional.regression.cosine_similarity import cosine_similarity  # noqa: F401
 from torchmetrics.functional.regression.explained_variance import explained_variance  # noqa: F401
+from torchmetrics.functional.regression.kendall import kendall_rank_corrcoef  # noqa: F401
 from torchmetrics.functional.regression.kl_divergence import kl_divergence  # noqa: F401
 from torchmetrics.functional.regression.log_mse import mean_squared_log_error  # noqa: F401
 from torchmetrics.functional.regression.mae import mean_absolute_error  # noqa: F401