Publication
Title
Copula-based orderings of multivariate dependence
Author
Abstract
In this paper I investigate the problem of defining a multivariate dependence ordering. First, I provide a characterization of the concordance dependence ordering between multivariate random vectors with fixed margins. Central to the characterization is a multivariate generalization of a well-known bivariate elementary dependence increasing rearrangement. Second, to order multivariate random vectors with nonfixed margins, I impose a scale invariance principle which leads to a copula-based concordance dependence ordering. Finally, a wide family of copula-based measures of dependence is characterized to which Spearmanís rank correlation coefficient belongs.
Language
English
Source (series)
Core discussion paper ; 2010:12
Publication
Louvain-la-Neuve : Center for Operations Research and Economics, 2010
Volume/pages
26 p.
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
External links
Record
Identification
Creation 01.02.2012
Last edited 21.11.2016
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