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Journal Articles Journal of Multivariate Analysis Year : 1989

Copulae of probability measures on product spaces

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Abstract

It has been proved (Sklar, 1959, Publ. Inst. Statist. Univ. Paris 8 229–231) that any multivariate distribution function depends on its arguments only through its marginal distributions. An analogous result will be proved in the general framework of probability measures on (Polish) product spaces. Many properties, holding for distribution functions, still hold in the more general situation. Some results related to convergence in probability will be examined.

Dates and versions

hal-00542233 , version 1 (02-12-2010)

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Marco Scarsini. Copulae of probability measures on product spaces. Journal of Multivariate Analysis, 1989, Vol. 31, N°2, pp. 201-219. ⟨10.1016/0047-259X(89)90062-6⟩. ⟨hal-00542233⟩

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