An analysis of the Rüschendorf transform -- with a view towards Sklar's theorem

DOI10.1515/demo-2015-0008zbMath1406.60023arXiv1312.4997MaRDI QIDQ906341

Frank Oertel

Publication date: 21 January 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.4997

zbMATH Keywords

copulas; Sklar's theorem; distributional transform; generalised inverse functions

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60E05: Probability distributions: general theory

60A99: Foundations of probability theory

26A27: Nondifferentiability (nondifferentiable functions, points of nondifferentiability), discontinuous derivatives

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