Multivariate medial correlation with applications

Abstract

We define a multivariate medial correlation coefficient that extends the probabilistic interpretation and properties of Blomqvist’s β coefficient, incorporates multivariate marginal dependencies and it preserves a partial ordering stronger than concordance relation. We illustrate the results in some models and provide an application on real datasets.

Keywords

• blomqvist β
• multivariate medial correlation
• multivariate stochastic order
• 62h20