Multivariate measures of concordance for copulas and their marginals

被引：23
作者：
Taylor, M. D. [1 ]
机构：
[1] Univ Cent Florida, Dept Math, Orlando, FL 32816 USA
来源：
DEPENDENCE MODELING | 2016年 / 4卷 / 01期
关键词：
Multivariate measure of concordance; measure of association; copula;
D O I：
10.1515/demo-2016-0013
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：224 / 236
页数：13
相关论文
共 15 条
  • [1] Dolati A., 2006, INT MATH FORUM, V1, P17
  • [2] Characterizations of degree one bivariate measures of concordance
    Edwards, H. H.
    Taylor, M. D.
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2009, 100 (08) : 1777 - 1791
  • [3] Edwards H. H., 2004, THESIS
  • [4] Edwards H. H., 2004, INT J MATH MATH SCI, V2004, P3867, DOI DOI 10.1155/S016117120440355X
  • [5] Measures of concordance determined by D4-invariant measures on (0,1)2
    Edwards, HH
    Mikusinski, P
    Taylor, MD
    [J]. PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY, 2005, 133 (05) : 1505 - 1513
  • [6] Joe H., 1997, VOLUME 73 MONOGRAPHS
  • [7] Concordance measures for multivariate non-continuous random vectors
    Mesfioui, Mhamed
    Quessy, Jean-Francois
    [J]. JOURNAL OF MULTIVARIATE ANALYSIS, 2010, 101 (10) : 2398 - 2410
  • [8] Nelsen RB, 2002, DISTRIBUTIONS WITH GIVEN MARGINALS AND STATISTICAL MODELLING, P169
  • [9] Nelson R.B., 2006, INTRO COPULAS SPRING
  • [10] Scarsini M., 1984, STOCHASTICA, V8, P201
12