Concordance measures for multivariate non-continuous random vectors

DOI10.1016/J.JMVA.2010.06.011zbMath1207.62129OpenAlexW1997028947MaRDI QIDQ604355

Jean-François Quessy, M'hamed Mesfioui

Publication date: 10 November 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.06.011

zbMATH Keywords

copulaKendall's tauSpearman's rhomultivariate concordancediscontinuous distributionsSpearman's footrule

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Measures of association (correlation, canonical correlation, etc.) (62H20) Nonparametric inference (62G99)

Related Items (11)

Multivariate measures of concordance for copulas and their marginals ⋮ Bounds on multivariate Kendall's tau and Spearman's rho for zero-inflated continuous variables and their application to insurance ⋮ Best upper and lower bounds on Spearman's rho for zero-inflated continuous variables and their application to insurance ⋮ Extensions of subcopulas ⋮ On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data ⋮ Bounds on concordance-based validation statistics in regression models for binary responses ⋮ Nonparametric estimation of copula-based measures of multivariate association from contingency tables ⋮ Modelling count data via copulas ⋮ Concordance-based predictive measures in regression models for discrete responses ⋮ The weighted rank correlation coefficient \(r_{W2}\) in the case of ties ⋮ Maximal coupling of empirical copulas for discrete vectors

Cites Work

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• Constraints on concordance measures in bivariate discrete data
• An introduction to copulas.
• On rank correlation measures for non-continuous random variables
• Multivariate concordance
• Multivariate measures of concordance
• Multivariate versions of Blomqvist's beta and Spearman's footrule
• An Introduction to Categorical Data Analysis
• Tests of Multivariate Independence for Ordinal Data
• On the properties of some nonparametric concordance measures in the discrete case
• A Primer on Copulas for Count Data

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