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;
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- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- Koen DECANCQ, 2009.
"Copula-based measurement of dependence between dimensions of well-being,"
Center for Economic Studies - Discussion papers
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