Metric space of subcopulas
© 2018 by the Mathematical Association of Thailand. All rights reserved. Sklar’s theorem states that any joint distribution function can be written as a composition of its marginal distributions and a subcopula. Structural study of the latter is therefore natural. In this work, we define a new metri...
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| Main Authors: | , |
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| Format: | Journal |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85045003621&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/58826 |
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| Institution: | Chiang Mai University |
| Summary: | © 2018 by the Mathematical Association of Thailand. All rights reserved. Sklar’s theorem states that any joint distribution function can be written as a composition of its marginal distributions and a subcopula. Structural study of the latter is therefore natural. In this work, we define a new metric on the space of subcopulas making the space of copula its subspace. This is done via suitably extended subcopulas to joint distribution functions. Relationship between this new metric and the previously defined metric on the space of subcopulas is also discussed. |
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