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Multivariate measures of concordance. (English) Zbl 1131.62054
Summary: M. Scarsini [On measures of concordance. Stochastica 8, 201–218 (1984; Zbl 0582.62047)] 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, \(n \geq 2\). 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.

62H20 Measures of association (correlation, canonical correlation, etc.)
62A01 Foundations and philosophical topics in statistics
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