Some properties of multivariate measures of concordance
Probability
2008-08-25 v1 Statistics Theory
Statistics Theory
Abstract
We explore the consequences of a set of axioms which extend Scarsini's axioms for bivariate measures of concordance to the multivariate case and exhibit the following results: (1) A method of extending measures of concordance from the bivariate case to arbitrarily high dimensions. (2) A formula expressing the measure of concordance of the random vectors in terms of the measures of concordance of the "marginal" random vectors . (3) A method of expressing the measure of concordance of an odd-dimensional copula in terms of the measures of concordance of its even-dimensional marginals. (4) A family of relations which exist between the measures of concordance of the marginals of a given copula.
Cite
@article{arxiv.0808.3105,
title = {Some properties of multivariate measures of concordance},
author = {M. D. Taylor},
journal= {arXiv preprint arXiv:0808.3105},
year = {2008}
}