Multivariate Measures of Concordance for Copulas and their Marginals
Probability
2016-10-18 v1
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 -copula and the measures of concordance of the copula's marginals.
Keywords
Cite
@article{arxiv.1004.5023,
title = {Multivariate Measures of Concordance for Copulas and their Marginals},
author = {M. D. Taylor},
journal= {arXiv preprint arXiv:1004.5023},
year = {2016}
}