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.
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) |
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.