Multivariate concordance

Harry Joe

Journal of Multivariate Analysis, 1990, vol. 35, issue 1, 12-30

Abstract: A multivariate concordance ordering is defined by the ordering of the multivariate distribution functions and corresponding survival functions. Multivariate versions of Blomqvist's q, Kendall's [tau], and Spearman's [varrho], that are increasing relative to the concordance ordering, are obtained.

Keywords: concordance; multivariate; distributions; Blomqvist's; q; Kendall's; [tau]; Spearman's; [varrho] (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (80)

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