Multivariate Measures Of Concordance For Copulas And Their Marginals

Keywords

Copula; Measure of association; Multivariate measure of concordance

Abstract

Building upon earlier work in which axioms were formulated for multivariate measures of concordance, we examine properties of such measures. In particular, we examine the relations between the measure of concordance of an n-copula and the measures of concordance of the copula's marginals.

Publication Date

1-1-2016

Publication Title

Dependence Modeling

Volume

4

Issue

1

Number of Pages

224-236

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1515/demo-2016-0013

Socpus ID

85044134300 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/85044134300

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