Copula-based orderings of multivariate dependence

Koen Decancq

No 2010012, LIDAM Discussion Papers CORE 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)
Date: 2010-03-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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Working Paper: Copula-based orderings of multivariate dependence (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2010012

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