Concordance and Copulas: A Survey

Roger B. Nelsen
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Roger B. Nelsen: Lewis & Clark College, Department of Mathematical Sciences

A chapter in Distributions With Given Marginals and Statistical Modelling, 2002, pp 169-177 from Springer

Abstract: Abstract Abstract In this paper we survey relationships between concordance of random variables and their copulas. We focus on the relationship between concordance and measures of association such as Kendall’s tau, Spearman’s rho and Gini’s coefficient. Extensions to the multivariate case are also discussed.

Keywords: Concordance; Copulas; Spearman’s rho; Kendall’s tau; Gini’s coefficient; Blomqvist’s coefficient; Measures of association; 62H20; 62H05; 60E15 (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-017-0061-0_18

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DOI: 10.1007/978-94-017-0061-0_18

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