The Fréchet transform (Q1204358)
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English | The Fréchet transform |
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The Fréchet transform (English)
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15 March 1993
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The authors point out that to study dependency relations between random variables \(X\) and \(Y\) with distribution functions \(F\) and \(G\), it is helpful to consider the map \(\Phi(x,y) = (F(x), G(y))\). Moreover, the authors note that while this map is useful, it can introduce some severe complications. Consequently, they propose a new map which is a set transform rather than a point transform and which they hope can be used to simplify the analysis of types of dependence. This new map, called the Fréchet transform of a distribution function \(F\) is a map from the subsets of \(F\) to the subsets of \(I\) given by \[ \Phi(A) =\{ y \in [0,1] \mid\text{there is an } x \in A\text{ such that } F(x) \leq y \leq F(x^ +)\}. \] The authors develop several fundamental properties of this map. A particularly interesting aspect is the development of geometric intuition for the Fréchet transform.
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dependency relations between random variables
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types of dependence
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Fréchet transform of a distribution function
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