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

Frank Oertel

Dependence Modeling, 2015, vol. 3, issue 1, 13

Abstract: 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.

Keywords: Copulas; distributional transform; generalised inverse functions; Sklar’s Theorem; 26A27; 60E05; 60A99; 62H05; Copulas; distributional transform; generalised inverse functions; Sklar’s Theorem; 26A27; 60E05; 60A99; 62H05 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:3:y:2015:i:1:p:13:n:8

DOI: 10.1515/demo-2015-0008

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