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Multivariate concordance

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  • Joe, Harry
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    Abstract

    A 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 Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 35 (1990)
    Issue (Month): 1 (October)
    Pages: 12-30

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    Handle: RePEc:eee:jmvana:v:35:y:1990:i:1:p:12-30

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    Related research

    Keywords: concordance multivariate distributions Blomqvist's q Kendall's [tau] Spearman's [varrho];

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    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Tails of copulas, une lecture graphique
      by arthur charpentier in Freakonometrics on 2010-07-08 02:28:00
    2. Copulas and tail dependence, part 1
      by arthur charpentier in Freakonometrics on 2012-09-18 03:48:00
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