An analysis of the Rüschendorf transform - with a view towards Sklar’s Theorem

• Autorzy: Frank Oertel
• Języki publikacji: EN

Abstrakty

EN

We revisit Sklar’s Theorem and give another proof, primarily based on the use of right quantile functions. To this end we slightly generalise the distributional transform approach of Rüschendorf and facilitate some new results including a rigorous characterisation of an almost surely existing “left-invertibility” of distribution functions.

Słowa kluczowe

EN

Copulas, distributional transform; generalised inverse functions; Sklar’s Theorem

Kategorie tematyczne

• 26A27: Nondifferentiability (nondifferentiable functions, points of nondifferentiability), discontinuous derivatives
• 62H05: Characterization and structure theory
• 60E05: Distributions: general theory
• 60A99: None of the above, but in this section

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2015
• Tom: 3
• Numer: 1

Daty

otrzymano

2015-03-11

zaakceptowano

2015-08-12

online

2015-09-09

Twórcy

autor

Frank Oertel

• Deloitte LLP, Audit - Banking & Capital Markets, Hill House, 1 Little New Street, London,
  EC4A 3TR, UK

Bibliografia

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Identyfikatory

DOI

10.1515/demo-2015-0008