EconPapers    
Economics at your fingertips  
 

Copula-based orderings of multivariate dependence

Koen Decancq ()

No 2010012, CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: In this paper I investigate the problem of defining a multivariate dependence ordering. First, I provide a characterization of the concordance dependence ordering between multivariate random vectors with fixed margins. Central to the characterization is a multivariate generalization of a well-known bivariate elementary dependence increasing rearrangement. Second, to order multivariate random vectors with non- fixed margins, I impose a scale invariance principle which leads to a copula-based concordance dependence ordering. Finally, a wide family of copula-based measures of dependence is characterized to which Spearmanís rank correlation coefficient belongs.

Keywords: copula; concordance ordering; dependence measures; dependence orderings; multivariate stochastic dominance; supermodular ordering (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2010-03-01
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.uclouvain.be/cps/ucl/doc/core/documents/coredp2010_12web.pdf (application/pdf)

Related works:
Working Paper: Copula-based orderings of multivariate dependence (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2010012

Access Statistics for this paper

More papers in CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().

 
Page updated 2019-10-06
Handle: RePEc:cor:louvco:2010012