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Copula-based orderings of multivariate dependence

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  • DECANCQ, Koen

    ()
    (Katholieke Universiteit Leuven, CES, B-3000 Leuven, Belgium; Université catholique de Louvain, CORE, B-1348 Louvain-la-Neuve, Belgium)

Abstract

In this paper I investigate the problem of defining a multivariate dependence ordering. First, I provide a characterization of the concordance dependence ordering between multivariate random vectors with fixed margins. Central to the characterization is a multivariate generalization of a well-known bivariate elementary dependence increasing rearrangement. Second, to order multivariate random vectors with non- fixed margins, I impose a scale invariance principle which leads to a copula-based concordance dependence ordering. Finally, a wide family of copula-based measures of dependence is characterized to which Spearmanís rank correlation coefficient belongs.

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Bibliographic Info

Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2010012.

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Date of creation: 01 Mar 2010
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Handle: RePEc:cor:louvco:2010012

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Related research

Keywords: copula; concordance ordering; dependence measures; dependence orderings; multivariate stochastic dominance; supermodular ordering;

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Cited by:
  1. Silvia Terzi & Luca Moroni, 2014. "A suggestion for a multivariate concordance coefficient," Departmental Working Papers of Economics - University 'Roma Tre' 0189, Department of Economics - University Roma Tre.
  2. Koen DECANCQ, 2009. "Copula-based measurement of dependence between dimensions of well-being," Center for Economic Studies - Discussion papers ces09.24, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.

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