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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

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 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)
Date: 2010-03
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