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arxiv: 1601.02121 · v1 · pith:BE6QWHYZnew · submitted 2016-01-09 · 🧮 math.PR · math.ST· stat.TH

Sklar's Theorem in an Imprecise Setting

classification 🧮 math.PR math.STstat.TH
keywords sklartheoremdistributionfunctionsimprecisionmarginalsmeansavailable
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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.

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