Copula-Based Orderings of Multivariate Dependence

Abstract

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 Spearman’s rank correlation coefficient belongs.

Keywords: copula, concordance ordering, dependence measures, dependence orderings, multivariate stochastic dominance, supermodular ordering

JEL Classification: C14