MASM33, Matematisk statistik - Kursguide - Course Syllabus

sannolikhetsteori - Copula probability theory - qaz.wiki

A key result in this field is Sklar's Theorem which roughly states that any n-variate distribution function can be written as a composition of a suitable copula and an n-dimensional vector whose components are given by univariate marginal distribution functions, and that conversely the composition of an arbitrary copula and an arbitrary n-dimensional vector, consisting of n one-dimensional distribution functions (which need not be continuous), again is a n-variate distribution function whose Sklar's theorem, named after Abe Sklar, provides the theoretical foundation for the application of copulas. Sklar's theorem states that every multivariate cumulative distribution function of a random vector can be expressed in terms of its marginals Sklar’s Theorem The copula models are tools for studying the dependence structure of multivariate distributions.