期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2010
卷号：2010
期号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：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.
