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Full-Text Articles in Physical Sciences and Mathematics
Why Copulas?, Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta, Olga Kosheleva
Why Copulas?, Vladik Kreinovich, Hung T. Nguyen, Songsak Sriboonchitta, Olga Kosheleva
Departmental Technical Reports (CS)
A natural way to represent a 1-D probability distribution is to store its cumulative distribution function (cdf) F(x) = Prob(X ≤ x). When several random variables X1, ..., Xn are independent, the corresponding cdfs F1(x1), ..., Fn(xn) provide a complete description of their joint distribution. In practice, there is usually some dependence between the variables, so, in addition to the marginals Fi(xi), we also need to provide an additional information about the joint distribution of the given variables. It is possible to represent this joint …