On concordance measures for discrete data and dependence properties of Poisson model

DOI10.1155/2009/895742MaRDI QIDQ609692zbMATH OpenOpenAlexWikidataFDO

Authors Taoufik Bouezmarni, Abdelouahid Tajar, Mhamed Mesfioui

Publication date 1 December 2010

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://eudml.org/doc/223097

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

Review text

Summary: We study Kendall's tau and Spearman's rho concordance measures for discrete variables. We mainly provide their best bounds using positive dependence properties. These bounds are difficult to write down explicitly in general. Here we give an explicit formula of the best bounds in a particular Fréchet space in order to understand the behavior of the ranges of these measures. Also, based on an empirical copula which is viewed as a discrete distribution, we propose a new estimator of the copula function. Finally, we give useful dependence properties of the bivariate Poisson distribution and show the relationship between parameters of the Poisson distribution and both tau and rho.

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Cited in

(5)

• Analysis of discrete data by Conway-Maxwell Poisson distribution
• Bounds on concordance-based validation statistics in regression models for binary responses
• Concordance-based predictive measures in regression models for discrete responses
• On the properties of some nonparametric concordance measures in the discrete case
• Constraints on concordance measures in bivariate discrete data

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