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.
@article{bwmeta1.element.doi-10_1515_demo-2016-0013,
author = {M. D. Taylor},
title = {Multivariate measures of concordance for copulas and their marginals},
journal = {Dependence Modeling},
volume = {4},
year = {2016},
zbl = {1349.62244},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0013}
}
M. D. Taylor. Multivariate measures of concordance for copulas and their marginals. Dependence Modeling, Tome 4 (2016) . http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0013/