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Constraints on concordance measures in bivariate discrete data

Onglets principaux

Denuit, Michel [UCL] Lambert, Philippe [UCL]

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.

Type de document Article de périodique (Journal article) – Article de recherche
Type d'accès Accès restreint
Année de publication 2005
Langue Anglais
Information sur le périodique "Journal of Multivariate Analysis" - Vol. 93, p. 40-57 (2005)
Peer reviewed oui
Editeur Academic Press ((United States) San Diego)
issn 0047-259X
e-issn 1095-7243
Statut de la publication Publié
Affiliations Louvain School of Management
Mots-clés Bivariate discrete ; Copula ; Concordance ; Dependence
Liens
Référence bibliographique Denuit, Michel ; Lambert, Philippe. Constraints on concordance measures in bivariate discrete data. In: Journal of Multivariate Analysis, Vol. 93, p. 40-57 (2005)
Permalien http://hdl.handle.net/2078/16968