Copula-based orderings of multivariate dependence
AbstractIn 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 InfoPaper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2010012.
Date of creation: 01 Mar 2010
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copula; concordance ordering; dependence measures; dependence orderings; multivariate stochastic dominance; supermodular ordering;
Other versions of this item:
- Koen DECANCQ, 2010. "Copula-based orderings of multivariate dependence," Center for Economic Studies - Discussion papers ces10.08, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
- Decancq, Koen, 2010. "Copula-based orderings of multivariate dependence," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/267266, Katholieke Universiteit Leuven.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- Ana C. CEBRIÁN & Michel DENUIT & Olivier SCAILLET, 2002. "Testing for Concordance Ordering," FAME Research Paper Series rp41, International Center for Financial Asset Management and Engineering.
- Decancq, Koen, 2009.
"Copula-based measurement of dependence between dimensions of well-being,"
Open Access publications from Katholieke Universiteit Leuven
urn:hdl:123456789/253173, Katholieke Universiteit Leuven.
- 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.
- Decancq K, 2009. "Copula-based Measurement of Dependence Between Dimensions of Well-being," Health, Econometrics and Data Group (HEDG) Working Papers 09/32, HEDG, c/o Department of Economics, University of York.
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