The Alexa ranking for a particular website is calculated by the number of sites linking to it (determining it’s ‘importance’), adding importance to an individual link if the linking site is important (if you get what I mean). Although this is pretty good for search engine ranking, it is very inaccurate when you try and guess user statistics.
Alexa has no way to account for people who use Google as their homepage, as their browser search bar, or type “google.com” into their address bar, and wrongly believes that because perhaps more people link to Yahoo! (probably true, since they have their own news section) then surely it must have more visitors.
In order for a true central resource for visitor statistics to exist, all websites would have to release their traffic information, and nobody likes surrendering information unless absolutely necessary.