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 Spearman’s rank correlation coefficient belongs.
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven, Centrum voor Economische Studiën in its series Center for Economic Studies - Discussion papers with number ces10.08.
Date of creation: Mar 2010
Date of revision:
copula; concordance ordering; dependence measures; dependence orderings; multivariate stochastic dominance; supermodular ordering.;
Other versions of this item:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- NEP-ALL-2010-12-23 (All new papers)
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- 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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- 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.
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