# Posts Tagged ‘ Kendall ’

## Kendall’s function for copulas

September 12, 2012
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As mentioned in the course on copulas, a nice tool to describe dependence it Kendall's cumulative function. Given a random pair with distribution  , define random variable . Then Kendall's cumulative function is Genest and Rivest (1993) intr...

## Association and concordance measures

September 12, 2012
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Following the course, in order to define assocation measures (from Kruskal (1958)) or concordance measures (from Scarsini (1984)), define a concordance function as follows: let be a random pair with copula , and with copula . Then define the so-...