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Multivariate Measures of Concordance for Copulas and their Marginals

Authors :
Taylor, M. D.
Source :
Depend.Model. 4 (2016) 224-236
Publication Year :
2010

Abstract

Building upon earlier work in which axioms were formulated for multivariate measures of concordance, we examine properties of such measures. In particular, we examine the relations between the measure of concordance of an $n$-copula and the measures of concordance of the copula's marginals.

Details

Database :
arXiv
Journal :
Depend.Model. 4 (2016) 224-236
Publication Type :
Report
Accession number :
edsarx.1004.5023
Document Type :
Working Paper
Full Text :
https://doi.org/10.1515/demo-2016-0013