Sklar's theorem derived using probabilistic continuation and two consistency results

JOURNAL OF MULTIVARIATE ANALYSIS

卷:122

Article

Faugeras, Olivier P.

关键词: Copula;    Skorokhod representation theorem;    Coupling;    A.s. constructions;    Concordance measure;   

DOI  :  10.1016/j.jmva.2013.07.010

来源: Elsevier

【 摘 要 】

We give a purely probabilistic proof of Sklar's theorem by using a simple continuation technique and sequential arguments. We then consider the case where the distribution function F is unknown but one observes instead a sample of i.i.d. copies distributed according to F: we construct a sequence of copula representers associated with the empirical distribution function of the sample which convergences a.s. to the representer of the copula function associated with F. Eventually, we are surprisingly able to extend the last theorem to the case where the marginals of F are discontinuous. (C) 2013 Elsevier Inc. All rights reserved.

【 授权许可】

Free