Multivariate concordance

Multivariate measures of concordance

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 ...

Relationship between multivariate concordance and risk measures

The question about the definition of concordance between random vectors is an open problem because there is not an unanimous opinion about its meaning and its appropriate definition. Also the definition of multivariate risk measures encounters many difficulties. In this paper we want to investigate the relationship between these multivariate measures, essentially based on the relation between r...

Some properties of multivariate measures of concordance

We explore the consequences of a set of axioms which extend Scarsini’s axioms for bivariate measures of concordance to the multivariate case and exhibit the following results: (1) A method of extending measures of concordance from the bivariate case to arbitrarily high dimensions. (2) A formula expressing the measure of concordance of the random vectors (±X1, · · · ,±Xn) in terms of the measure...

Multivariate copulas: Transformations, symmetry, order and measures of concordance

DeCon: a tool to detect emotional concordance in multivariate time series data of emotional responding.

The occurrence of concordance among different response components during an emotional episode is a key feature of several contemporary accounts and definitions of emotion. Yet, capturing such response concordance in empirical data has proven to be elusive, in large part because of a lack of appropriate statistical tools that are tailored to measure the intricacies of response concordance in the...