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Multivariate medial correlation with applications

Author

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  • Ferreira Helena

    (Universidade da Beira Interior, Centro de Matemática e Aplicações (CMA-UBI), Avenida Marquês d’Avila e Bolama, 6200-001 Covilhã, Portugal)

  • Ferreira Marta

    (Center of Mathematics of Minho University, Center for Computational and Stochastic Mathematics of University of Lisbon, Center of Statistics and Applications of University of Lisbon, Portugal)

Abstract

We define a multivariate medial correlation coefficient that extends the probabilistic interpretation and properties of Blomqvist’s β coefficient, incorporates multivariate marginal dependencies and it preserves a partial ordering stronger than concordance relation. We illustrate the results in some models and provide an application on real datasets.

Suggested Citation

  • Ferreira Helena & Ferreira Marta, 2020. "Multivariate medial correlation with applications," Dependence Modeling, De Gruyter, vol. 8(1), pages 361-372, January.
    • Handle: RePEc:vrs:demode:v:8:y:2020:i:1:p:361-372:n:2
    DOI: 10.1515/demo-2020-0019
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    References listed on IDEAS

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    2. M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 789-806, December.
    3. Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
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    5. Marco Scarsini, 1984. "On measures of concordance," Post-Print hal-00542380, HAL.
    6. Taylor M. D., 2016. "Multivariate measures of concordance for copulas and their marginals," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-13, October.
    7. Friedrich Schmid & Rafael Schmidt, 2007. "Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 66(3), pages 323-354, November.
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