A suggestion for a multivariate concordance coefficient

Silvia Terzi and Luca Moroni ()

No 189, Departmental Working Papers of Economics - University 'Roma Tre' from Department of Economics - University Roma Tre

Abstract: In the present paper we will introduce a coecient of multivariate association i.e. association in a d-variate vector of observations x = (x1; : : : ; xd), where d 2 and where each xj is itself a vector of n observations. We order the observations, divide them in slices and count how many times one observation in the r-th slice of any of the d distributions also belongs to the r-th slice of any of the others. The greater the number of overlaps between the units belonging to corresponding slices, the greater the concordance between the d distributions. This is the simple and intuitive idea our multivariate association coecient stems from. It is in fact a multidimensional concordance coecient since it assumes comonotonicity for all variables.

Keywords: Copula; Concordance; Local concordance; Measures of multivariate association (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2014-04
New Economics Papers: this item is included in nep-ecm and nep-ger
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Persistent link: https://EconPapers.repec.org/RePEc:rtr:wpaper:0189

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