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Constraints on concordance measures in bivariate discrete data

Author

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  • Denuit, Michel
  • Lambert, Philippe

Abstract

This paper aims to investigate the constraints on dependence measures based on the concept of concordance when discrete random variables are involved. The main technical argument consists in a continuous extension of integer-valued random variables by convolution with unit support kernels.

Suggested Citation

  • Denuit, Michel & Lambert, Philippe, 2005. "Constraints on concordance measures in bivariate discrete data," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 40-57, March.
    • Handle: RePEc:eee:jmvana:v:93:y:2005:i:1:p:40-57
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    References listed on IDEAS

    as
    1. Marco Scarsini, 1984. "On measures of concordance," Post-Print hal-00542380, HAL.
    2. Takemi Yanagimoto & Masashi Okamoto, 1969. "Partial orderings of permutations and monotonicity of a rank correlation statistic," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 489-506, December.
    3. Vandenhende, François & Lambert, Philippe, 2003. "Improved rank-based dependence measures for categorical data," Statistics & Probability Letters, Elsevier, vol. 63(2), pages 157-163, June.
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