Kendall’s Tau VS Spearman’s Rho

Nice vid. on Kendall’s tau and Spearman’s rho.

Part 1.

Part 2.

Here’s another explanation:
http://www.unesco.org/webworld/idams/advguide/Chapt4_2.htm.

In most cases, these values are very similar, and when discrepancies occur, it is probably safer to interpret the lower value. More importantly, Kendall’s Tau and Spearman’s Rho imply different interpretations. Spearman’s Rho is considered as the regular Pearson’s correlation coefficient in terms of the proportion of variability accounted for, whereas Kendall’s Tau represents a probability, i.e., the difference between the probability that the observed data are in the same order versus the probability that the observed data are not in the same order.

Here’s post at CrossValidated:
Kendall Tau or Spearman’s rho?.

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