The Fréchet transform

The Fréchet transform

Let F1,…,FN be 1-dimensional probability distribution functions and C be an N-copula. Define an N-dimensional probability distribution function G by G(x1,…,xN)=C(F1(x1),…,FN(xN)). Let ν, be the probability measure induced on ℝN by G and μ be the probability measure induced on [0,1]N by C. We constru...

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Bibliographic Details
Main Authors: Piotor Mikusiński, Morgan Phillips, Howard Sherwood, Michael D. Taylor
Format: Article
Language:English
Published: Wiley 1993-01-01
Series:International Journal of Mathematics and Mathematical Sciences
Subjects:
Fréchet transform
probability distribution function
doubly stochastic measure
copula
distributions with fixed marginals.
Online Access:http://dx.doi.org/10.1155/S0161171293000183
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