Best upper and lower bounds on Spearman’s rho for zero-inflated continuous variables and their application to insurance

Autor:	Julien Trufin, Mhamed Mesfioui
Rok vydání:	2021
Předmět:	Statistics and Probability Continuous variable Economics and Econometrics Mathematical finance Statistics Zero (complex analysis) Statistics::Methodology Statistics Probability and Uncertainty Upper and lower bounds Random variable Mathematics
Zdroj:	European Actuarial Journal. 12:417-423
ISSN:	2190-9741 2190-9733
Popis:	In this note, we establish the best lower and upper bounds on Spearman’s rho for zero-inflated continuous random variables studied by Pimentel (Kendall’s Tau and Spearman’s Rho for Zero Inflated Data (Ph.D. dissertation). Western Michigan University, Kalamazoo, 2009). The proposed bounds are explicitly expressed in terms of the respective probability masses at the origin. As illustrated in an example based on insurance data, these bounds are useful in practice when interpreting the values of Spearman’s rho.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::0b8f9fb6de1aa6775afb6a4c74c29f53 https://doi.org/10.1007/s13385-021-00296-9 Zobrazit plný text záznamu Full text from SpringerLink