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

DOI10.1007/s11009-021-09869-3zbMath1490.62135OpenAlexW3165418428MaRDI QIDQ2152252

Julien Trufin, M'hamed 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

upper boundsinsuranceKendall's tauSpearman's rhomultivariate zero-inflated data

Mathematics Subject Classification ID

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

Related Items (1)

Kendall's tau estimator for bivariate zero-inflated count data

Cites Work

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

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