Sklar's theorem is an important tool that connects bidimensional distribution functions with their marginals by means of a copula. When there is imprecision about the marginals, 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: | Sklar's theorem in an imprecise setting |
Autori: | |
Data di pubblicazione: | 2015 |
Rivista: | |
Abstract: | Sklar's theorem is an important tool that connects bidimensional distribution functions with their marginals by means of a copula. When there is imprecision about the marginals, 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://www.sciencedirect.com/science/article/pii/S0165011414004539 http://hdl.handle.net/11368/2845646 |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.fss.2014.10.007 |
URL: | http://www.sciencedirect.com/science/article/pii/S0165011414004539 |
Appare nelle tipologie: | 1.1 Articolo in Rivista |
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