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Title
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Copula-based orderings of multivariate dependence
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Author
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Abstract
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| 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 SpearmanÃs rank correlation coefficient belongs. |
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Language
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English
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Source (series)
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Core discussion paper ; 2010:12
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Publication
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Louvain-la-Neuve
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Center for Operations Research and Economics
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2010
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Volume/pages
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26 p.
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