Multivariate measures of concordance
Abbreviated Journal Title
Ann. Inst. Stat. Math.
copula; concordance; measures of association; multivariate measures of; association; POSITIVE DEPENDENCE; Statistics & Probability
In 1984 Scarsini introduced a set of axioms for measures of concordance of ordered pairs of continuous random variables. We exhibit an extension of these axioms to ordered n-tuples of continuous random variables, n >= 2. We derive simple properties of such measures, give examples, and discuss the relation of the extended axioms to multivariate measures of concordance previously discussed in the literature.
Annals of the Institute of Statistical Mathematics
"Multivariate measures of concordance" (2007). Faculty Bibliography 2000s. 7710.