AbstractA multivariate concordance ordering is defined by the ordering of the multivariate distribution functions and corresponding survival functions. Multivariate versions of Blomqvist's q, Kendall's [tau], and Spearman's [varrho], that are increasing relative to the concordance ordering, are obtained.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 35 (1990)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Tails of copulas, une lecture graphique
by arthur charpentier in Freakonometrics on 2010-07-08 02:28:00
- Copulas and tail dependence, part 1
by arthur charpentier in Freakonometrics on 2012-09-18 03:48:00
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