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Multivariate copulas with given values at two arbitrary points
Statistical Papers ( IF 1.2 ) Pub Date : 2022-10-30 , DOI: 10.1007/s00362-022-01362-4
Erich Peter Klement , Damjana Kokol Bukovšek , Matjaž Omladič , Susanne Saminger-Platz , Nik Stopar

Copulas are functions that link an n-dimensional distribution function with its one-dimensional margins. In this contribution we show how n-variate copulas with given values at two arbitrary points can be constructed. Thereby, we also answer a so far open question whether lower and upper bounds for n-variate copulas with given value at a single arbitrary point are achieved. We also introduce and discuss the concept of an \(\mathbf{F}\)-copula which is needed for proving our results.



中文翻译:

在两个任意点具有给定值的多元 copula

Copulas 是将n维分布函数与其一维边际联系起来的函数。在这篇文章中,我们展示了如何构造在两个任意点具有给定值的n变量 copula。因此,我们还回答了一个迄今为止悬而未决的问题,是否实现了在单个任意点具有给定值的n变量 copula 的下限和上限。我们还介绍并讨论了证明我们的结果所需的\(\mathbf{F}\) -copula 的概念。

更新日期:2022-10-31
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