Title
Multivariate Measures Of Concordance
Keywords
Concordance; Copula; Measures of association; Multivariate measures of association
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. © 2006 The Institute of Statistical Mathematics, Tokyo.
Publication Date
12-1-2007
Publication Title
Annals of the Institute of Statistical Mathematics
Volume
59
Issue
4
Number of Pages
789-806
Document Type
Article
Personal Identifier
scopus
DOI Link
https://doi.org/10.1007/s10463-006-0076-2
Copyright Status
Unknown
Socpus ID
36448929037 (Scopus)
Source API URL
https://api.elsevier.com/content/abstract/scopus_id/36448929037
STARS Citation
Taylor, M. D., "Multivariate Measures Of Concordance" (2007). Scopus Export 2000s. 5852.
https://stars.library.ucf.edu/scopus2000/5852