The cumulative distribution function of a random variable is: . The copula of is such that: where , resp. , is the distribution function of , resp. . It is unique if each variable is continuous (atomless law). Theorem (Sklar). A function is the copula of some random variable with values in if and only [...]
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Copula in Statistics
Posted in Probability and Statistics, should have known also on November 29, 2009 | Leave a Comment »
