Copula-based orderings of multivariate dependence

Decancq, Koen
(2010)

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  • Decancq, KoenUCLouvain
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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 non-fixed 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.
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Decancq, K. (2010). Copula-based orderings of multivariate dependence (CORE Discussion Paper 2010/12). https://hdl.handle.net/2078.5/249925