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

Michel M. Denuit and Mhamed Mesfioui

Statistics & Probability Letters, 2017, vol. 126, issue C, 173-178

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.

Keywords: Association measure; Bivariate zero-inflated data; Fréchet–Hoeffding bounds (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.03.005

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