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Copula-based orderings of multivariate dependence


  • DECANCQ, Koen

    () (Katholieke Universiteit Leuven, CES, B-3000 Leuven, Belgium; Université catholique de Louvain, CORE, B-1348 Louvain-la-Neuve, Belgium)


In 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.

Suggested Citation

  • DECANCQ, Koen, 2010. "Copula-based orderings of multivariate dependence," CORE Discussion Papers 2010012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:2010012

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    Cited by:

    1. Koen Decancq, 2014. "Copula-based measurement of dependence between dimensions of well-being," Oxford Economic Papers, Oxford University Press, vol. 66(3), pages 681-701.
    2. 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.

    More about this item


    copula; concordance ordering; dependence measures; dependence orderings; multivariate stochastic dominance; supermodular ordering;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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