NDLI: Multivariate measures of concordance

Content Provider	Springer Nature Link
Author	Taylor, M. D.
Copyright Year	2006
Abstract	In 1984 Scarsini introduced a set of axioms for measures of concordance of ordered pairs of continuous random variables. We exhibit an extension of these axioms to ordered n-tuples of continuous random variables, n ≥ 2. We derive simple properties of such measures, give examples, and discuss the relation of the extended axioms to multivariate measures of concordance previously discussed in the literature.
Starting Page	789
Ending Page	806
Page Count	18
File Format	PDF
ISSN	00203157
Journal	Annals of the Institute of Statistical Mathematics
Volume Number	59
Issue Number	4
e-ISSN	15729052
Language	English
Publisher	Springer-Verlag
Publisher Date	2006-07-28
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Copula Concordance Measures of association Multivariate measures of association Statistics for Business/Economics/Mathematical Finance/Insurance Statistics
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability

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Multivariate measures of concordance