Sklar's Theorem in an Imprecise Setting
classification
🧮 math.PR
math.STstat.TH
keywords
sklartheoremdistributionfunctionsimprecisionmarginalsmeansavailable
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Sklar's theorem is an important tool that connects bidimensional distribution functions with their marginals by means of a copula. When there is imprecision about the marginals, we can model the available information by means of p-boxes, that are pairs of ordered distribution functions. Similarly, we can consider a set of copulas instead of a single one. We study the extension of Sklar's theorem under these conditions, and link the obtained results to stochastic ordering with imprecision.
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