Multivariate measures of concordance

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.

Cite this paper

@inproceedings{Taylor2007MultivariateMO, title={Multivariate measures of concordance}, author={Michelle Taylor}, year={2007} }