Multivariate measures of concordance for copulas and their marginals

DOI10.1515/demo-2016-0013zbMath1349.62244arXiv1004.5023OpenAlexW3102141590MaRDI QIDQ325006

Michael D. Taylor

Publication date: 17 October 2016

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

Full work available at URL: https://arxiv.org/abs/1004.5023

zbMATH Keywords

copulameasure of associationmultivariate measure of concordance

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items (18)

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Cites Work

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• Concordance measures for multivariate non-continuous random vectors
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• Measures of concordance determined by \(D_4\)-invariant copulas
• 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
• Multivariate copulas with cubic sections in one variable

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