Multivariate medial correlation with applications
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Abstract: We define a multivariate medial correlation coefficient that extends the probabilistic interpretation and properties of Blomqvist's coefficient, incorporates multivariate marginal dependencies and it preserves a stronger multivariate concordance relation. We determine the maximum and minimum values attainable and illustrate the results in some models. We end with an application on real datasets.
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Cites work
- scientific article; zbMATH DE number 3932217 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
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- On the interrelation between dependence coefficients of bivariate extreme value copulas
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