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Copula-based orderings of multivariate dependence

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  • Koen DECANCQ

Abstract

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 Spearman’s rank correlation coefficient belongs.

Suggested Citation

  • Koen DECANCQ, 2010. "Copula-based orderings of multivariate dependence," Working Papers Department of Economics ces10.08, KU Leuven, Faculty of Economics and Business, Department of Economics.
  • Handle: RePEc:ete:ceswps:ces10.08
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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

    Keywords

    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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