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Characterizations of degree one bivariate measures of concordance

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  • Edwards, H.H.
  • Taylor, M.D.

Abstract

We call a measure of concordance [kappa] of an ordered pair (X,Y) of two continuous random variables a bivariate measure of concordance. This [kappa] may be considered to be a function [kappa](C) of the copula C associated with (X,Y). [kappa] is considered to be of degree n if, given any two copulas A and B, the value of their convex sum, [kappa](tA+(1-t)B), is a polynomial in t of degree n. Examples of bivariate measures of concordance are Spearman's rho, Blomqvist's beta, Gini's measure of association, and Kendall's tau. The first three of these are of degree one, but Kendall's tau is of degree two. We exhibit three characterizations of bivariate measures of concordance of degree one.

Suggested Citation

  • Edwards, H.H. & Taylor, M.D., 2009. "Characterizations of degree one bivariate measures of concordance," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1777-1791, September.
    • Handle: RePEc:eee:jmvana:v:100:y:2009:i:8:p:1777-1791
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    References listed on IDEAS

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    1. Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
    2. Marco Scarsini, 1984. "On measures of concordance," Post-Print hal-00542380, HAL.
    3. M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 789-806, December.
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    Cited by:

    1. Claudio G. Borroni, 2019. "Mutual association measures," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(4), pages 571-591, December.
    2. Gijbels Irène & Matterne Margot, 2021. "Study of partial and average conditional Kendall’s tau," Dependence Modeling, De Gruyter, vol. 9(1), pages 82-120, January.
    3. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2020. "Spearman's footrule and Gini's gamma: Local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta," Papers 2009.06221, arXiv.org, revised Jan 2021.
    4. Martynas Manstavičius, 2022. "Diversity of Bivariate Concordance Measures," Mathematics, MDPI, vol. 10(7), pages 1-18, March.

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