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Multivariate measures of concordance for copulas and their marginals

Multivariate measures of concordance for copulas and their marginals 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

Multivariate measures of concordance for copulas and their marginals

Taylor, M. D.
Dependence Modeling , Volume (1) – Oct 7, 2016
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Publisher
de Gruyter
Copyright
Copyright © 2016 by the
eISSN
2300-2298
DOI
10.1515/demo-2016-0013
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Abstract

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.

Journal

Dependence Modeling – de Gruyter

Published: Oct 7, 2016

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