Multivariate measures of concordance for copulas and their marginals

DOI10.1515/DEMO-2016-0013MaRDI QIDQ325006zbMATH OpenOpenAlexFDO

Authors Michael Taylor

Publication date 17 October 2016

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

Full work available at URL https://arxiv.org/abs/1004.5023

zbMATH Keywords

copulameasure of associationmultivariate measure of concordance

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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 $n$-copula and the measures of concordance of the copula's marginals.

Recommendations

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Cited in

(25)

• Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
• Multivariate medial correlation with applications
• Efficient and accurate evaluation methods for concordance measures via functional tensor characterizations of copulas
• 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
• Multivariate measures of concordance
• A few generalizations of Kendall's tau. I: Construction
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• Mutual association measures
• Concordance and copulas: a survey
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• Copula-induced measures of concordance
• Concordance measures for multivariate non-continuous random vectors
• On the class of truncation invariant bivariate copulas under constraints
• Quantifying directed dependence via dimension reduction
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• On the exact regions determined by Kendall's tau and other concordance measures
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• 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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