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We present efficient algorithms for simultaneously computing Kendall's tau and the jackknife estimator of its variance. For the classical pairwise tau, we describe a modification of Knight's algorithm (originally designed to compute only tau) that does so while preserving its O(nlog2n) runtime in the number of observations n. We also introduce a novel algorithm computing a multivariate extension of tau and its jackknife variance in O(nlog2pn) time.
Samuel Perreault (Wed,) studied this question.