Multivariate Measures of Concordance for Copulas and their Marginals

Details Multivariate Measures of Concordance for Copulas and their Marginals Multivariate Measures of Concordance for Copulas and their Marginals

2010-04-28

arxiv.org/abs/1004.5023v1

Mathematics

Probability

Scientific paper

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.

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