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Multivariate measures of concordance for copulas and their marginals

Author

Listed:
  • Taylor M. D.

    (Department of Mathematics, University of Central Florida, Orlando, FL 32816, USA)

Abstract

Building upon earlier work in which axioms were formulated for multivariate measures of concordance, we examine properties of such measures. In particular,we examine the relations between the measure of concordance of an n-copula and the measures of concordance of the copula’s marginals.

Suggested Citation

  • Taylor M. D., 2016. "Multivariate measures of concordance for copulas and their marginals," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-13, October.
    • Handle: RePEc:vrs:demode:v:4:y:2016:i:1:p:13:n:13
    DOI: 10.1515/demo-2016-0013
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    Citations

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    Cited by:

    1. Jae Youn Ahn & Sebastian Fuchs, 2020. "On Minimal Copulas under the Concordance Order," Journal of Optimization Theory and Applications, Springer, vol. 184(3), pages 762-780, March.
    2. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2020. "Spearman's footrule and Gini's gamma: Local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta," Papers 2009.06221, arXiv.org, revised Jan 2021.
    3. Claudio G. Borroni, 2019. "Mutual association measures," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(4), pages 571-591, December.
    4. Ferreira Helena & Ferreira Marta, 2020. "Multivariate medial correlation with applications," Dependence Modeling, De Gruyter, vol. 8(1), pages 361-372, January.
    5. Fuchs, Sebastian & Di Lascio, F. Marta L. & Durante, Fabrizio, 2021. "Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables," Computational Statistics & Data Analysis, Elsevier, vol. 159(C).
    6. Martynas Manstavičius, 2022. "Diversity of Bivariate Concordance Measures," Mathematics, MDPI, vol. 10(7), pages 1-18, March.
    7. Fuchs Sebastian & McCord Yann, 2019. "On the lower bound of Spearman’s footrule," Dependence Modeling, De Gruyter, vol. 7(1), pages 126-132, January.
    8. Ferreira Helena & Ferreira Marta, 2020. "Multivariate medial correlation with applications," Dependence Modeling, De Gruyter, vol. 8(1), pages 361-372, January.

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