Multivariate measures of concordance

    Authors

    M. D. Taylor

    Comments

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    Abbreviated Journal Title

    Ann. Inst. Stat. Math.

    Keywords

    copula; concordance; measures of association; multivariate measures of; association; POSITIVE DEPENDENCE; Statistics & Probability

    Abstract

    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.

    Journal Title

    Annals of the Institute of Statistical Mathematics

    Volume

    59

    Issue/Number

    4

    Publication Date

    1-1-2007

    Document Type

    Article

    Language

    English

    First Page

    789

    Last Page

    806

    WOS Identifier

    WOS:000251090800008

    ISSN

    0020-3157

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