151. Copulae of probability measures on product spaces
- Author
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Marco Scarsini, Groupement de Recherche et d'Etudes en Gestion à HEC (GREGH), Ecole des Hautes Etudes Commerciales (HEC Paris)-Centre National de la Recherche Scientifique (CNRS), Dipartimento di Scienze Economiche e Aziendali, and Libera Università Internazionale degli Studi Sociali Guido Carli [Roma] (LUISS)
- Subjects
Statistics and Probability ,Numerical Analysis ,Multivariate analysis ,probability measures on product spaces ,Copula (linguistics) ,simulation of multivariate distributions ,Multivariate normal distribution ,multivariate random processes ,Convergence of random variables ,[SHS.ECO.ECO]Humanities and Social Sciences/Economics and Finance/domain_shs.eco.eco ,convergence in probability ,Econometrics ,copula ,Statistics, Probability and Uncertainty ,Marginal distribution ,Mathematical economics ,Mathematics ,Probability measure - Abstract
International audience; It has been proved (Sklar, 1959, Publ. Inst. Statist. Univ. Paris 8 229–231) that any multivariate distribution function depends on its arguments only through its marginal distributions. An analogous result will be proved in the general framework of probability measures on (Polish) product spaces. Many properties, holding for distribution functions, still hold in the more general situation. Some results related to convergence in probability will be examined.
- Published
- 1989
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