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Representation of Exchangeable Sequences by Means of Copulas

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Combining Soft Computing and Statistical Methods in Data Analysis

Part of the book series: Advances in Intelligent and Soft Computing ((AINSC,volume 77))

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Abstract

Given a sequence \(\mathbf X=(X_n)_{n\in \mathbb N}\) of exchangeable continuous random variables, it is proved that the joint distribution function of every finite subset of random variables belonging to X is fully described by means of a suitable bivariate copula and a univariate distribution function.

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Author information

Authors and Affiliations

  1. School of Economics and Management, Free University of Bozen-Bolzano, Bolzano, Italy

    Fabrizio Durante

  2. HVB–Institute for Mathematical Finance, Technische Universität München, Garching, Germany

    Jan-Frederik Mai

Authors
  1. Fabrizio Durante
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  2. Jan-Frederik Mai
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Editor information

Editors and Affiliations

  1. Research Unit on Intelligent Data Analysis and Graphical Models, European Centre for Soft Computing Edificio Científico-Tecnológico. 3a Planta, C/ Gonzalo Gutiérrez Quirós s/n, 33600, Mieres, Spain

    Christian Borgelt , Gil González-Rodríguez  & Wolfgang Trutschnig ,  & 

  2. Departamento de Estadística e I.O. y D.M., Universidad de Oviedo, Facultad de Ciencias, C/ Calvo Sotelo s/n, 33007, Oviedo, Spain

    María Asunción Lubiano

  3. Departamento de Estadística e I.O. yD.M., Universidad de Oviedo, Facultad de Ciencias, C/ Calvo Sotelo s/n, 33007, Oviedo, Spain

    María Ángeles Gil

  4. Systems Research Institute, Polish Academy of Sciences, Newelska 6, 01-447, Warsaw, Poland

    Przemysław Grzegorzewski

  5. Systems Research Institute, Polish Academy of Science, Newelska 6, 01-447, Warsaw, Poland

    Olgierd Hryniewicz

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Durante, F., Mai, JF. (2010). Representation of Exchangeable Sequences by Means of Copulas. In: Borgelt, C., et al. Combining Soft Computing and Statistical Methods in Data Analysis. Advances in Intelligent and Soft Computing, vol 77. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-14746-3_28

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  • DOI: https://doi.org/10.1007/978-3-642-14746-3_28

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-14745-6

  • Online ISBN: 978-3-642-14746-3

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