Concordance measures for multivariate non-continuous random vectors

Mhamed Mesfioui and Jean-François Quessy

Journal of Multivariate Analysis, 2010, vol. 101, issue 10, 2398-2410

Abstract: A notion of multivariate concordance suitable for non-continuous random variables is defined and many of its properties are established. This allows the definition of multivariate, non-continuous versions of Kendall's tau, Spearman's rho and Spearman's footrule, which are concordance measures. Since the maximum values of these association measures are not +1 in general, a special attention is given to the computation of upper bounds. The latter turn out to be multivariate generalizations of earlier findings made by Neslehová (2007) [9] and Denuit and Lambert (2005) [2]. They are easy to compute and can be estimated from a data set of (possibly) discontinuous random vectors. Corrected versions are considered as well.

Keywords: Discontinuous; distributions; Copula; Kendall's; tau; Multivariate; concordance; Spearman's; rho; Spearman's; footrule (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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