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

Faugeras, Olivier (2013) Sklar's theorem derived using probabilistic continuation and two consistency results. Journal of Multivariate Analysis, 122. pp. 271-277.

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Official URL: http://tse-fr.eu/pub/27449

Abstract

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.

Item Type: Article
Language: English
Date: August 2013
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 09 Jul 2014 17:38
Last Modified: 07 Mar 2018 13:22
OAI ID: oai:tse-fr.eu:27449
URI: http://publications.ut-capitole.fr/id/eprint/15705

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