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A multivariate extension of the Lorenz curve based on copulas and a related multivariate Gini coefficient

Grothe, Oliver 1; Kächele, Fabian ORCID iD icon 1; Schmid, Friedrich
1 Institut für Operations Research (IOR), Karlsruher Institut für Technologie (KIT)

Abstract:

We propose an extension of the univariate Lorenz curve and of the Gini coefficient to the multivariate case, i.e., to simultaneously measure inequality in more than one variable. Our extensions are based on copulas and measure inequality stemming from inequality in every single variable as well as inequality stemming from the dependence structure of the variables. We derive simple nonparametric estimators for both instruments and apply them exemplary to data of individual income and wealth for various countries.


Volltext §
DOI: 10.5445/IR/1000146010
Veröffentlicht am 11.05.2022
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Operations Research (IOR)
Publikationstyp Forschungsbericht/Preprint
Publikationsjahr 2021
Sprache Englisch
Identifikator KITopen-ID: 1000146010
Verlag Springer
Nachgewiesen in Dimensions
arXiv
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