IDEAS home Printed from https://ideas.repec.org/a/vrs/demode/v8y2020i1p361-372n2.html
   My bibliography  Save this article

Multivariate medial correlation with applications

Author

Listed:
  • Ferreira Helena

    (Universidade da Beira Interior, Centro de Matemática e Aplicações (CMA-UBI), Avenida Marquês d’Avila e Bolama, 6200-001 Covilhã, Portugal)

  • Ferreira Marta

    (Center of Mathematics of Minho University, Center for Computational and Stochastic Mathematics of University of Lisbon, Center of Statistics and Applications of University of Lisbon, Portugal)

Abstract

We define a multivariate medial correlation coefficient that extends the probabilistic interpretation and properties of Blomqvist’s β coefficient, incorporates multivariate marginal dependencies and it preserves a partial ordering stronger than concordance relation. We illustrate the results in some models and provide an application on real datasets.

Suggested Citation

  • Ferreira Helena & Ferreira Marta, 2020. "Multivariate medial correlation with applications," Dependence Modeling, De Gruyter, vol. 8(1), pages 361-372, January.
    • Handle: RePEc:vrs:demode:v:8:y:2020:i:1:p:361-372:n:2
    DOI: 10.1515/demo-2020-0019
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/demo-2020-0019
    Download Restriction: no
    File URL: https://libkey.io/10.1515/demo-2020-0019?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    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. Taylor M. D., 2016. "Multivariate measures of concordance for copulas and their marginals," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-13, October.
    4. Manuel Úbeda-Flores, 2005. "Multivariate versions of Blomqvist’s beta and Spearman’s footrule," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(4), pages 781-788, December.
    5. 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.
    6. Friedrich Schmid & Rafael Schmidt, 2007. "Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 66(3), pages 323-354, November.
    7. Marco Scarsini, 1984. "Strong measures of concordance and convergence in probability," Post-Print hal-00542387, HAL.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ferreira Helena & Ferreira Marta, 2020. "Multivariate medial correlation with applications," Dependence Modeling, De Gruyter, vol. 8(1), pages 361-372, January.
    2. Gijbels, Irène & Kika, Vojtěch & Omelka, Marek, 2021. "On the specification of multivariate association measures and their behaviour with increasing dimension," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
    3. Liebscher Eckhard, 2014. "Copula-based dependence measures," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-16, October.
    4. Jae Youn Ahn & Sebastian Fuchs, 2020. "On Minimal Copulas under the Concordance Order," Journal of Optimization Theory and Applications, Springer, vol. 184(3), pages 762-780, March.
    5. Fuchs, Sebastian & Di Lascio, F. Marta L. & Durante, Fabrizio, 2021. "Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables," Computational Statistics & Data Analysis, Elsevier, vol. 159(C).
    6. Martynas Manstavičius, 2022. "Diversity of Bivariate Concordance Measures," Mathematics, MDPI, vol. 10(7), pages 1-18, March.
    7. Gaißer, Sandra & Ruppert, Martin & Schmid, Friedrich, 2010. "A multivariate version of Hoeffding's Phi-Square," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2571-2586, November.
    8. 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.
    9. Koen Decancq, 2020. "Measuring cumulative deprivation and affluence based on the diagonal dependence diagram," METRON, Springer;Sapienza Università di Roma, vol. 78(2), pages 103-117, August.
    10. Koen Decancq, 2014. "Copula-based measurement of dependence between dimensions of well-being," Oxford Economic Papers, Oxford University Press, vol. 66(3), pages 681-701.
    11. Dalia Valencia & Rosa E. Lillo & Juan Romo, 2019. "A Kendall correlation coefficient between functional data," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 13(4), pages 1083-1103, December.
    12. Hofert, Marius & Oldford, Wayne, 2018. "Visualizing dependence in high-dimensional data: An application to S&P 500 constituent data," Econometrics and Statistics, Elsevier, vol. 8(C), pages 161-183.
    13. Liebscher, Eckhard, 2021. "Kendall regression coefficient," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    14. Silvia Terzi & Luca Moroni, 2022. "Local Concordance and Some Applications," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 161(2), pages 457-470, June.
    15. Fuchs Sebastian, 2016. "A Biconvex Form for Copulas," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-13, February.
    16. Yanqin Fan & Marc Henry, 2020. "Vector copulas," Papers 2009.06558, arXiv.org, revised Apr 2021.
    17. Antonio Dalessandro & Gareth W. Peters, 2020. "Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1089-1124, September.
    18. Lee, Woojoo & Ahn, Jae Youn, 2014. "On the multidimensional extension of countermonotonicity and its applications," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 68-79.
    19. 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.
    20. Naoyuki Ishimura & Naohiro Yoshida, 2017. "On a measure of dependence for extreme value copulas," EcoMod2017 10311, EcoMod.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:demode:v:8:y:2020:i:1:p:361-372:n:2. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.