Copula measures and Sklar's theorem in arbitrary dimensions

DOI10.1111/SJOS.12559MaRDI QIDQ5043795zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, Giulia Di Nunno, Dennis Schroers

Publication date 6 October 2022

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2012.11530

zbMATH Keywords

copulasnonparanormal processesR random variables and laws in infinite dimensionsSklar's theoremWasserstein space

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Abstract: Although copulas are used and defined for various infinite-dimensional objects (e.g. Gaussian processes and Markov processes), there is no prevalent notion of a copula that unifies these concepts. We propose a unified approach and define copulas as probability measures on general product spaces. For this we prove Sklar's Theorem in this infinite-dimensional setting. We show how to transfer this result to various function space settings and describe how to model and approximate dependent probability measures in these spaces in the realm of copulas.

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Cited in

(6)

• Copula fields and their applications
• Lagged covariance and cross-covariance operators of processes in Cartesian products of abstract Hilbert spaces
• A topological proof of Sklar's theorem in arbitrary dimensions
• Copulas in Hilbert spaces
• Wasserstein distance in terms of the comonotonicity copula
• Distributionally robust optimization under ambiguity across two layers

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