Copula-induced measures of concordance

DOI10.1515/demo-2016-0011zbMath1349.62237OpenAlexW2529613900MaRDI QIDQ325002

Sebastian Fuchs

Publication date: 17 October 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2016-0011

zbMATH Keywords

copulastransformations of copulasmeasures of concordance

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (10)

Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables ⋮ On the lower bound of Spearman's footrule ⋮ On the exact region determined by Spearman's rho and Spearman's footrule ⋮ Convex concordance measures ⋮ A novel positive dependence property and its impact on a popular class of concordance measures ⋮ Quantifying directed dependence via dimension reduction ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ On minimal copulas under the concordance order ⋮ On the class of truncation invariant bivariate copulas under constraints ⋮ Reflection invariant copulas

Cites Work

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• Measures of concordance determined by \(D_4\)-invariant copulas
• Multivariate concordance
• Multivariate measures of concordance
• Multivariate versions of Blomqvist's beta and Spearman's footrule
• Some new parametric families of multivariate copulas
• Measures of concordance determined by 𝐷₄-invariant measures on (0,1)²
• Principles of Copula Theory

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