Sklar's theorem is an important tool that connects bidimensional distribution functions to their marginals by means of a copula. When there is imprecision about the marginal models, we can model the available information by means of p-boxes, that are pairs of ordered distribution functions. Similarly, we can consider a set of copulas instead of a single one. We study the extension of Sklar's theorem under these conditions, and link the obtained results to stochastic ordering with imprecision.

Imprecise copulas and bivariate stochastic orders

PELESSONI, RENATO;VICIG, PAOLO;
2013

Abstract

Sklar's theorem is an important tool that connects bidimensional distribution functions to their marginals by means of a copula. When there is imprecision about the marginal models, we can model the available information by means of p-boxes, that are pairs of ordered distribution functions. Similarly, we can consider a set of copulas instead of a single one. We study the extension of Sklar's theorem under these conditions, and link the obtained results to stochastic ordering with imprecision.
9788416046041
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11368/2735891
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