Sklar's Theorem in an Imprecise Setting
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.
- Publication:
-
arXiv e-prints
- Pub Date:
- January 2016
- DOI:
- 10.48550/arXiv.1601.02121
- arXiv:
- arXiv:1601.02121
- Bibcode:
- 2016arXiv160102121M
- Keywords:
-
- Mathematics - Probability;
- Mathematics - Statistics Theory;
- 60E05;
- 60E15;
- 60A05
- E-Print:
- A definitive version has been published in a special issue on uncertainty and imprecision modelling in decision making (EUROFUSE 2013) of Fuzzy Sets and Systems