A suggestion for a multivariate concordance coefficient
In the present paper we will introduce a coecient of multivariate association i.e. association in a d-variate vector of observations x = (x1; : : : ; xd), where d 2 and where each xj is itself a vector of n observations. We order the observations, divide them in slices and count how many times one observation in the r-th slice of any of the d distributions also belongs to the r-th slice of any of the others. The greater the number of overlaps between the units belonging to corresponding slices, the greater the concordance between the d distributions. This is the simple and intuitive idea our multivariate association coecient stems from. It is in fact a multidimensional concordance coecient since it assumes comonotonicity for all variables.
|Date of creation:||Apr 2014|
|Contact details of provider:|| Postal: Via Silvio d'Amico 77, - 00145 Rome Italy|
Phone: +39 06 57114612
Fax: +39 06 57114771
Web page: http://host.uniroma3.it/dipartimenti/economia/it/
More information through EDIRC
References listed on IDEAS
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.:
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- 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.
- DECANCQ, Koen, 2010. "Copula-based orderings of multivariate dependence," CORE Discussion Papers 2010012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:rtr:wpaper:0189. 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: (Telephone for information)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.