Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction

L. E. Melkumova ; S. Ya. Shatskikh

Teoriâ veroâtnostej i ee primeneniâ, Tome 66 (2021) no. 1, pp. 196-208

Résumé

We give an equivalent definition of the conditional quantile reproducibility property for multivariate probability distributions using the concept of copula. Based on this definition, we establish a connection between the conditional quantile reproducibility property and the simplifying assumption from the simplified pair copula construction. Additionally, we show that the conditional quantile reproducibility is preserved when moving from a multivariate distribution to its copula.

Détail

Keywords: conditional quantile reproducibility, simplified pair copula construction.
Mots-clés : copula

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