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Bounds on Kendall’s tau for zero-inflated continuous variables

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  • Denuit, Michel M.
  • Mesfioui, Mhamed

Abstract

In this short note, we derive the lower and upper bounds on the association measure for zero-inflated continuous random variables proposed by Pimentel et al. (2015). These bounds only involve the respective probability masses at the origin. This provides analysts with the set of values that can be attained, helping them to interpret the obtained results as shown in an example based on Danish fire insurance losses data.

Suggested Citation

  • Denuit, Michel M. & Mesfioui, Mhamed, 2017. "Bounds on Kendall’s tau for zero-inflated continuous variables," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 173-178.
    • Handle: RePEc:eee:stapro:v:126:y:2017:i:c:p:173-178
    DOI: 10.1016/j.spl.2017.03.005
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    References listed on IDEAS

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    1. Klein, Nadja & Denuit, Michel & Lang, Stefan & Kneib, Thomas, 2014. "Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 225-249.
    2. 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.
    3. Pimentel, Ronald S. & Niewiadomska-Bugaj, Magdalena & Wang, Jung-Chao, 2015. "Association of zero-inflated continuous variables," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 61-67.
    4. Klein, Nadja & Denuit, Michel & Lang, Stefan & Kneib, Thomas, 2014. "Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape," LIDAM Reprints ISBA 2014006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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    Cited by:

    1. Perrone, Elisa & van den Heuvel, Edwin R. & Zhan, Zhuozhao, 2023. "Kendall’s tau estimator for bivariate zero-inflated count data," Statistics & Probability Letters, Elsevier, vol. 199(C).

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