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EnglishSklar'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.
| Titolo: | Imprecise copulas and bivariate stochastic orders | |
| Autori: | ||
| Data di pubblicazione: | 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. | |
| Handle: | http://hdl.handle.net/11368/2735891 | |
| ISBN: | 9788416046041 | |
| Appare nelle tipologie: | 2.1 Contributo in Volume (Capitolo,Saggio) |
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