Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Dependence Modeling

Ed. by Puccetti, Giovanni

1 Issue per year

Covered by:
SCOPUS
MathSciNet
zbMATH



Emerging Science

Open Access
Online
ISSN
2300-2298
See all formats and pricing
More options …

Multivariate measures of concordance for copulas and their marginals

M. D. Taylor
  • Corresponding author
  • Department of Mathematics, University of Central Florida, Orlando, FL 32816, USA
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
Published Online: 2016-10-07 | DOI: https://doi.org/10.1515/demo-2016-0013

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.

Keywords: Multivariate measure of concordance; measure of association; copula

References

  • [1] Dolati, A. and M. Úbeda-Flores (2006a). On measures of multivariate concordance. J. Probab. Stat. Science 42(2), 147–163. Google Scholar

  • [2] Dolati, A. and M. Úbeda-Flores (2006b). Some new parametric families of multivariate copulas. Int.Math. Forum 1(1), 17–25. CrossrefGoogle Scholar

  • [3] Edwards, H. H. (2004). Measures of Concordance of Polynomial Type. ProQuest LLC, Ann Arbor, MI. Thesis (Ph.D.)–University of Central Florida. Google Scholar

  • [4] Edwards, H. H., P. Mikusinski, and M. D. Taylor (2004). Measures of concordance determined by D4-invariant copulas. Int. J. Math. Math. Sci. 69-72, 3867–3875. Google Scholar

  • [5] Edwards, H. H., P. Mikusinski, and M. D. Taylor (2005). Measures of concordance determined by D4-invariant measures on (0, 1)2. Proc. Amer. Math. Soc. 133(5), 1505–1513. Google Scholar

  • [6] Edwards, H. H. and M. D. Taylor (2009). Characterizations of degree one bivariate measures of concordance. J. Multivariate Anal. 100(8), 1777–1791. Web of ScienceCrossrefGoogle Scholar

  • [7] Fuchs, S. (2014). Multivariate copulas: transformations, symmetry, order and measures of concordance. Kybernetika 50(5), 725–743. Google Scholar

  • [8] Joe, H. (1997). Multivariate Models and Dependence Concepts. Chapman & Hall, London. Google Scholar

  • [9] Mesfioui, M. and J.-F. Quessy (2010). Concordance measures formultivariate non-continuous random vectors. J.Multivariate Anal. 101(10), 2398–2410. CrossrefGoogle Scholar

  • [10] Nelsen, R. B. (2002). Concordance and copulas: a survey. In Distributions with Given Marginals and Statistical Modelling, pp. 169–177. Kluwer Acad. Publ., Dordrecht. Google Scholar

  • [11] Nelsen, R. B. (2006). An Introduction to Copulas (Second ed.). Springer, New York. Google Scholar

  • [12] Scarsini, M. (1984). On measures of concordance. Stochastica 8(3), 201–218. Google Scholar

  • [13] Schweizer, B. and A. Sklar (1983). Probabilistic Metric Spaces. North-Holland Publishing Co., New York. Google Scholar

  • [14] Taylor, M. D. (2007). Multivariate measures of concordance. Ann. Inst. Statist. Math. 59(4), 789–806. CrossrefGoogle Scholar

  • [15] Taylor, M. D. (2008). Some properties of multivariate measures of concordance. Preprint, available at arXiv:0808.3105. Google Scholar

  • [16] Úbeda-Flores, M. (2005). Multivariate versions of Blomqvist’s beta and Spearman’s footrule. Ann. Inst. Statist. Math. 57(4), 781–788. CrossrefGoogle Scholar

  • [17] Úbeda-Flores, M. (2008). Multivariate copulas with cubic sections in one variable. J. Nonparametr. Stat. 20(1), 91–98. CrossrefWeb of ScienceGoogle Scholar

About the article

Received: 2016-09-01

Accepted: 2016-09-14

Published Online: 2016-10-07


Citation Information: Dependence Modeling, Volume 4, Issue 1, ISSN (Online) 2300-2298, DOI: https://doi.org/10.1515/demo-2016-0013.

Export Citation

© 2016 M. D. Taylor. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License. BY-NC-ND 3.0

Comments (0)

Please log in or register to comment.
Log in