Constraints on concordance measures in bivariate discrete data

Denuit, Michel;Lambert, Philippe
(2005) Journal of Multivariate Analysis — Vol. 93, p. 40-57 (2005)

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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.
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  • Louvain School of Management

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Denuit, M., & Lambert, P. (2005). Constraints on concordance measures in bivariate discrete data. Journal of Multivariate Analysis, 93, 40-57. https://doi.org/10.1016/j.jmva.2004.01.004 (Original work published 2005)