Multivariate measures of concordance

By M. D. Taylor. 2007

105 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a71c9d5c89ea9a5d3a5760812c677190a56ac461

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

In Management Science and Operations Research

Citations in the corpus

Spatial contagion between financial markets: a copula-based approach (2010, methodology): “This ordering is connected with the so-called measures of concordance – popular examples being Kendall’s � and Spearman’s � rank-correlation coefficients [32, 39 ] – in the following way: given two copulas C and D, if C � D, then �(C) ≤ �(D), where � is any measure of concordance.”
Copula-Based Measures of Multivariate Association (2010, methodology): “Multivariate versions of Kendall’s tau are considered in Nelsen [76, 78], Joe [57], and Taylor [ 109 ].”
On Measures of Multivariate Concordance (2006, background): “Taylor—who is also working in this matter [11]—for their helpful comments on an earlier version of this paper.”
Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and Iterated Function Systems (2015, methodology): “356 We finally remark that the idea behind equation (22) is closely connected with 357 the method of constructing multivariate concordance measures by averaging 358 the concordance values of the two-dimensional ’projections’ and refer to [30] 359 and the reference therein for an interesting and deta”
Copula-based Measurement of Dependence Between Dimensions of Well-being (2014, background): “(X) is the mean of two multidimensional rank correlation coe¢ cients discussed in Joe (1990) and has been studied by Nelsen (1991, 2002), Dolati and Úbeda-Flores (2006), Schmid and Schmidt (2006, 2007) and Taylor (2007).”
Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence (2007, background): “discussed in Wolfi (1980), Joe (1990), Nelsen (1996) , and Schmid and Schmidt (2006a).”
A multivariate version of Hoeffding's Phi-Square (2010, methodology): “The asymptotic variance of the estimator can be estimated by means of nonparametric bootstrap methods.”