Concordance measures for multivariate non-continuous random vectors
AbstractA notion of multivariate concordance suitable for non-continuous random variables is defined and many of its properties are established. This allows the definition of multivariate, non-continuous versions of Kendall's tau, Spearman's rho and Spearman's footrule, which are concordance measures. Since the maximum values of these association measures are not +1 in general, a special attention is given to the computation of upper bounds. The latter turn out to be multivariate generalizations of earlier findings made by Neslehová (2007)  and Denuit and Lambert (2005) . They are easy to compute and can be estimated from a data set of (possibly) discontinuous random vectors. Corrected versions are considered as well.
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.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 101 (2010)
Issue (Month): 10 (November)
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.:
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(4), pages 789-806, December.
- Denuit, Michel & Lambert, Philippe, 2005. "Constraints on concordance measures in bivariate discrete data," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 40-57, March.
- Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
- Manuel Úbeda-Flores, 2005. "Multivariate versions of Blomqvist’s beta and Spearman’s footrule," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(4), pages 781-788, December.
- Genest, Christian & Nešlehová, Johanna G. & Rémillard, Bruno, 2013. "On the estimation of Spearman’s rho and related tests of independence for possibly discontinuous multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 214-228.
If references are entirely missing, you can add them using this form.