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We consider two coefficients of multivariate association based on the diagonal section of the copula and the survival copula. We discuss their properties and show their relationship with the multivariate Spearman’s footrule. We also derive nonparametric estimators of these two coefficients and prove some properties of the estimators. Illustrative examples are also included.

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Multivariate Dependence Based on Diagonal Sections: Spearman’s Footrule and Related Measures

  • 会议论文

  • 发表日期：

    2025年

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  • Koen Decancq,
  • Ana Pérez,
  • Mercedes Prieto-Alaiz

摘要

We consider two coefficients of multivariate association based on the diagonal section of the copula and the survival copula. We discuss their properties and show their relationship with the multivariate Spearman’s footrule. We also derive nonparametric estimators of these two coefficients and prove some properties of the estimators. Illustrative examples are also included.