On exit: the requested correlation coefficients.
If only Kendall's tau coefficients are requested (), contains Kendall's tau for the th and th variables.
If only Spearman's coefficients are requested (), contains Spearman's rank correlation coefficient for the th and th variables.
If both Kendall's tau and Spearman's coefficients are requested (
), the upper triangle of
rr contains the Spearman coefficients and the lower triangle the Kendall coefficients. That is, for the
th and
th variables, where
is less than
,
contains the Spearman rank correlation coefficient, and
contains Kendall's tau, for
and
.
(Diagonal terms,
, are unity for all three values of
itype.)