Bounds on Spearman's rho when at least one random variable is discrete

DOI10.1007/S13385-021-00289-8zbMATH Open1493.62590OpenAlexW3189373754MaRDI QIDQ2157228FDOQ2157228

Pierre Zuyderhoff, Julien Trufin, Mhamed Mesfioui

Publication date: 27 July 2022

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/336577/3/Spearman_DiscreteVariable_EAJ_Revision.pdf

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zbMATH Keywords

Spearman's rholower boundsdiscrete variablesupper boundsconcordance and discordance

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• On rank correlation measures for non-continuous random variables
• Spearman's ρ is larger than kendall's τ for positively dependent random variables
• The concept of comonotonicity in actuarial science and finance: theory.
• Spatial modelling of claim frequency and claim size in non-life insurance
• On the properties of some nonparametric concordance measures in the discrete case
• On the Exact Region Determined by Kendall's τ and Spearman's ρ
• Concordance-based predictive measures in regression models for discrete responses
• Title not available (Why is that?)
• Title not available (Why is that?)
• Generalized linear models for dependent frequency and severity of insurance claims
• Bounds on concordance-based validation statistics in regression models for binary responses

Cited In (2)

• Bivariate Mixed Poisson Regression Models with Varying Dispersion
• Kendall's tau estimator for bivariate zero-inflated count data

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