Multivariate measures of concordance for copulas and their marginals

Taylor M. D.
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Taylor M. D.: Department of Mathematics, University of Central Florida, Orlando, FL 32816, USA

Dependence Modeling, 2016, vol. 4, issue 1, 13

Abstract: Building upon earlier work in which axioms were formulated for multivariate measures of concordance, we examine properties of such measures. In particular,we examine the relations between the measure of concordance of an n-copula and the measures of concordance of the copula’s marginals.

Keywords: Multivariate measure of concordance; measure of association; copula (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:4:y:2016:i:1:p:13:n:13

DOI: 10.1515/demo-2016-0013

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