English

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 (±X1,...,±Xn)(\pm X_1,...,\pm X_n) in terms of the measures of concordance of the "marginal" random vectors (Xi1,...,Xik)(X_{i_1},...,X_{i_k}). (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.

Keywords

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}
}