Multivariate measures of concordance for copulas and their marginals
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Publication:325006
DOI10.1515/DEMO-2016-0013zbMATH Open1349.62244arXiv1004.5023OpenAlexW3102141590MaRDI QIDQ325006FDOQ325006
Authors: Michael Taylor 
Publication date: 17 October 2016
Published in: Dependence Modeling (Search for Journal in Brave)
Abstract: Building upon earlier work in which axioms were formulated for multivariate measures of concordance, we examine properties of such measures. In particular, we examine the relations between the measure of concordance of an -copula and the measures of concordance of the copula's marginals.
Full work available at URL: https://arxiv.org/abs/1004.5023
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Cited In (25)
- Efficient and accurate evaluation methods for concordance measures via functional tensor characterizations of copulas
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Multivariate medial correlation with applications
- On the exact region determined by Spearman's footrule and Gini's gamma
- Distortion representations of multivariate distributions
- On the lower bound of Spearman's footrule
- Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta
- On the exact region determined by Spearman's rho and Spearman's footrule
- On minimal copulas under the concordance order
- A few generalizations of Kendall's tau. I: Construction
- Multivariate measures of concordance
- Reflection invariant copulas
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- Mutual association measures
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- Concordance measures for multivariate non-continuous random vectors
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- On the exact regions determined by Kendall's tau and other concordance measures
- Conditioning of copulas: transformations, invariance and measures of concordance
- Multivariate copulas: transformations, symmetry, order and measures of concordance
- Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems
- Relation between non-exchangeability and measures of concordance of copulas
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