Characterizations of degree one bivariate measures of concordance
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 100 (2009)
Issue (Month): 8 (September)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(4), pages 789-806, December.
- Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.