Constraints on concordance measures in bivariate discrete data

Michel Denuit and Philippe Lambert

Journal of Multivariate Analysis, 2005, vol. 93, issue 1, 40-57

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.

Keywords: Dependence; Concordance; Copula; Bivariate; discrete (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (73)

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