On the specification of multivariate association measures and their behaviour with increasing dimension
Archimedean copulasassociation measurescopulasEnvironmental Quality Index (EQI)meta-elliptical copulasnonparametric estimation
Probability distributions: general theory (60E05) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to environmental and related topics (62P12)
The authors consider the multivariate association measures which discover the tendency of the components of a \(d\)-variate random vector \(X = (X_1,\ldots, X_d)\) to simultaneously take large or small values. The interest is to elaborate on the generalization of bivariate association measures, namely Spearman's rho, Kendall's tau, Blomqvist's beta and Gini's gamma, for a general dimension \(d\geq 2\). Desirable properties and axioms for such generalizations are discussed. Existing generalizations are evaluated with respect to the axiom set. For a \(d\)-variate Gini's gamma, a simplified formula is developed, making its analytical computation easier. For Archimedean and meta-elliptical copulas the asymptotic behaviour when the dimension \(d\) increases is studied. Nonparametric estimation of the considered generalizations is reviewed and a nonparametric estimator of the multivariate Gini's gamma is introduced. The practical use of multivariate association measures is illustrated on a real data example.
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