Bounds on multivariate Kendall's tau and Spearman's rho for zero-inflated continuous variables and their application to insurance

DOI10.1007/S11009-021-09869-3MaRDI QIDQ2152252zbMATH OpenOpenAlexFDO

Authors Julien Trufin, Mhamed Mesfioui

Publication date 7 July 2022

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/326919/3/Bounds_Concor_MZID_Revision.pdf

zbMATH Keywords

Kendall's tauSpearman's rhoinsuranceupper boundsmultivariate zero-inflated data

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Association of zero-inflated continuous variables
• Bounds on Kendall's tau for zero-inflated continuous variables
• Concordance and copulas: a survey
• Concordance measures for multivariate non-continuous random vectors
• Constraints on concordance measures in bivariate discrete data
• Multivariate concordance
• Multivariate extensions of Spearman's rho and related statistics
• Multivariate measures of concordance
• On grade transformation and its implications for copulas
• On rank correlation measures for non-continuous random variables
• On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data
• On the properties of some nonparametric concordance measures in the discrete case

Cited in

(4)

• Kendall's tau estimator for bivariate zero-inflated count data
• Best upper and lower bounds on Spearman's rho for zero-inflated continuous variables and their application to insurance
• Bounds on Kendall's tau for zero-inflated continuous variables
• Association of zero-inflated continuous variables

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