Multivariate medial correlation with applications

Ferreira Helena () and Ferreira Marta ()
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Ferreira Helena: Universidade da Beira Interior, Centro de Matemática e Aplicações (CMA-UBI), Avenida Marquês d’Avila e Bolama, 6200-001 Covilhã, Portugal
Ferreira Marta: Center of Mathematics of Minho University, Center for Computational and Stochastic Mathematics of University of Lisbon, Center of Statistics and Applications of University of Lisbon, Portugal

Dependence Modeling, 2020, vol. 8, issue 1, 361-372

Abstract: We define a multivariate medial correlation coefficient that extends the probabilistic interpretation and properties of Blomqvist’s β coefficient, incorporates multivariate marginal dependencies and it preserves a partial ordering stronger than concordance relation. We illustrate the results in some models and provide an application on real datasets.

Keywords: Blomqvist β; multivariate medial correlation; multivariate stochastic order (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:8:y:2020:i:1:p:361-372:n:2

DOI: 10.1515/demo-2020-0019

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