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Copulae of probability measures on product spaces
Authors:Marco Scarsini
Abstract:
It has been proved (Sklar, 1959, Publ. Inst. Statist. Univ. Paris 8 229–231) that any multivariate distribution function depends on its arguments only through its marginal distributions. An analogous result will be proved in the general framework of probability measures on (Polish) product spaces. Many properties, holding for distribution functions, still hold in the more general situation. Some results related to convergence in probability will be examined.
Keywords:copula   probability measures on product spaces   simulation of multivariate distributions   multivariate random processes   convergence in probability
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