Characterizations of degree one bivariate measures of concordance
Abbreviated Journal Title
J. Multivar. Anal.
Copula; Measure of association; Measure of concordance; Statistics & Probability
We call a measure of concordance kappa of an ordered pair. (X, Y) of two continuous random variables a bivariate measure of concordance. This kappa may be considered to be a function kappa(C) of the copula C associated with. (X, Y). kappa is considered to be of degree n if, given any two copulas A and B, the value of their convex sum, kappa(tA + (1-t)B), is a polynomial in t of degree n. Examples of bivariate measures of concordance are Spearman's rho, Blomqvist's beta, Gini's measure of association, and Kendall's tau. The first three of these are of degree one, but Kendall's tau is of degree two. We exhibit three characterizations of bivariate measures of concordance of degree one. (C) 2009 Elsevier Inc. All rights reserved.
Journal of Multivariate Analysis
"Characterizations of degree one bivariate measures of concordance" (2009). Faculty Bibliography 2000s. 1507.