Copulas in Hilbert spaces

DOI10.1080/17442508.2016.1158821MaRDI QIDQ2974862zbMATH OpenOpenAlexWikidataFDO

Authors Erika Hausenblas, M. Riedle

Publication date 11 April 2017

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.06941

zbMATH Keywords

copulaHilbert spaceSklar's theorem

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Abstract: In this article, the concept of copulas is generalised to infinite dimensional Hilbert spaces. We show one direction of Sklar's theorem and explain that the other direction fails in infinite dimensional Hilbert spaces. We derive a necessary and sufficient condition which allows to state this direction of Sklar's theorem in Hilbert spaces. We consider copulas with densities and specifically construct copulas in a Hilbert space by a family of pairwise copulas with densities.

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(6)

• A topological proof of Sklar's theorem in arbitrary dimensions
• \(H\)-extendible copulas
• Copula measures and Sklar's theorem in arbitrary dimensions
• scientific article; zbMATH DE number 7407395 (Why is no real title available?)
• The topological space of Schur-concave copulas is homeomorphic to the Hilbert cube
• A scalar product for copulas

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