Copula-based orderings of multivariate dependence
Koen Decancq ()
Working Papers of Department of Economics, Leuven from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven
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 Spearman’s 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)
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Working Paper: Copula-based orderings of multivariate dependence (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:ete:ceswps:ces10.08
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