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Multivariate measures of concordance

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Abstract

In 1984 Scarsini introduced a set of axioms for measures of concordance of ordered pairs of continuous random variables. We exhibit an extension of these axioms to ordered n-tuples of continuous random variables, n  ≥  2. We derive simple properties of such measures, give examples, and discuss the relation of the extended axioms to multivariate measures of concordance previously discussed in the literature.

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Authors and Affiliations

  1. Mathematics Department, University of Central Florida, Orlando, FL, 32816-1364, USA

    M. D. Taylor

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  1. M. D. Taylor
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Correspondence to M. D. Taylor.

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Taylor, M.D. Multivariate measures of concordance. AISM 59, 789–806 (2007). https://doi.org/10.1007/s10463-006-0076-2

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  • DOI: https://doi.org/10.1007/s10463-006-0076-2

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