Concordance measures for multivariate non-continuous random vectors
A notion of multivariate concordance suitable for non-continuous random variables is defined and many of its properties are established. This allows the definition of multivariate, non-continuous versions of Kendall's tau, Spearman's rho and Spearman's footrule, which are concordance measures. Since the maximum values of these association measures are not +1 in general, a special attention is given to the computation of upper bounds. The latter turn out to be multivariate generalizations of earlier findings made by Neslehová (2007)  and Denuit and Lambert (2005) . They are easy to compute and can be estimated from a data set of (possibly) discontinuous random vectors. Corrected versions are considered as well.
Volume (Year): 101 (2010)
Issue (Month): 10 (November)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
- Manuel Úbeda-Flores, 2005. "Multivariate versions of Blomqvist’s beta and Spearman’s footrule," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(4), pages 781-788, December.
- M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer, vol. 59(4), pages 789-806, December.
- Denuit, Michel & Lambert, Philippe, 2005. "Constraints on concordance measures in bivariate discrete data," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 40-57, March.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:101:y:2010:i:10:p:2398-2410. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.