Abstract
In this contribution we stress the importance of Sklar’s theorem and present a proof of this result that is based on the compactness of the class of copulas (proved via elementary arguments) and the use of mollifiers. More details about the procedure can be read in a recent paper by the authors.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Similar content being viewed by others
References
Brezis, H.: Functional analysis, Sobolev spaces and partial differential equations. Universitext. Springer, New York (2011)
Carley, H., Taylor, M.D.: A new proof of Sklar’s theorem. In: Cuadras, C.M., Fortiana, J., Rodriguez-Lallena, J.A. (eds.) Distributions with given Marginals and Statistical Modelling, pp. 29–34. Kluwer Acad. Publ., Dordrecht (2002)
Cherubini, U., Mulinacci, S., Gobbi, F., Romagnoli, S.: Dynamic Copula methods in finance. Wiley Finance Series. John Wiley & Sons Ltd., Chichester (2012)
de Amo, E., Díaz-Carrillo, M., Fernández-Sánchez, J.: Characterization of all copulas associated with non-continuous random variables. Fuzzy Sets and Systems 191, 103–112 (2012)
Deheuvels, P.: Caractérisation complète des lois extrêmes multivariées et de la convergence des types extrêmes. Publ. Inst. Stat. Univ. Paris 23(3-4), 1–36 (1978)
Durante, F., Fernández-Sánchez, J., Sempi, C.: Sklar’s theorem obtained via regularization techniques. Nonlinear Anal. 75(2), 769–774 (2012)
Embrechts, P., Puccetti, G.: Risk aggregation. In: Jaworski, P., Durante, F., Härdle, W., Rychlik, T. (eds.) Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings, vol. 198, pp. 111–126. Springer, Heidelberg (2010)
Figueira, J., Greco, S., Ehrgott, M.: Multiple Criteria Decision Analysis: State of the Art Surveys. Springer, Boston (2005)
Grabisch, M., Marichal, J.L., Mesiar, R., Pap, E.: Aggregation functions. In: Encyclopedia of Mathematics and its Applications (No. 127). Cambridge University Press, New York (2009)
Jaworski, P., Durante, F., Härdle, W. (eds.): Copulae in Mathematical and Quantitative Finance. Lecture Notes in Statistics - Proceedings. Springer, Heidelberg (2013)
Jaworski, P., Durante, F., Härdle, W., Rychlik, T. (eds.): Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings, vol. 198. Springer, Heidelberg (2010)
Joe, H.: Multivariate models and dependence concepts. In: Monographs on Statistics and Applied Probability, vol. 73. Chapman & Hall, London (1997)
Klement, E.P., Kolesárová, A., Mesiar, R., Stupnanová, A.: A generalization of universal integrals by means of level dependent capacities. Knowledge-Based Systems 38, 14–18 (2013)
Klement, E.P., Mesiar, R., Pap, E.: A universal integral as common frame for Choquet and Sugeno integral. IEEE Trans. Fuzzy Systems 18(1), 178–187 (2010)
Moore, D.S., Spruill, M.C.: Unified large-sample theory of general chi-squared statistics for tests of fit. Ann. Statist. 3, 599–616 (1975)
Nelsen, R.B.: An introduction to copulas, 2nd edn. Springer Series in Statistics. Springer, New York (2006)
Rüschendorf, L.: On the distributional transform, Sklar’s Theorem, and the empirical copula process. J. Statist. Plan. Infer. 139(11), 3921–3927 (2009)
Salvadori, G., De Michele, C., Durante, F.: On the return period and design in a multivariate framework. Hydrol. Earth Syst. Sci. 15, 3293–3305 (2011)
Schweizer, B., Sklar, A.: Operations on distribution functions not derivable from operations on random variables. Studia Math. 52, 43–52 (1974)
Sklar, A.: Fonctions de répartition à n dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris 8, 229–231 (1959)
Tankov, P.: Improved fréchet bounds and model-free pricing of multi-asset options. J. Appl. Probab. 48(2), 389–403 (2011)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2013 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Durante, F., Fernández-Sánchez, J., Sempi, C. (2013). How to Prove Sklar’s Theorem. In: Bustince, H., Fernandez, J., Mesiar, R., Calvo, T. (eds) Aggregation Functions in Theory and in Practise. Advances in Intelligent Systems and Computing, vol 228. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-39165-1_12
Download citation
DOI: https://doi.org/10.1007/978-3-642-39165-1_12
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-39164-4
Online ISBN: 978-3-642-39165-1
eBook Packages: EngineeringEngineering (R0)