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Teoriya Veroyatnostei i ee Primeneniya, 2021, Volume 66, Issue 1, Pages 196–208
DOI: https://doi.org/10.4213/tvp5382 (Mi tvp5382) 		 
Short Communications

Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction

L. E. Melkumovaa, S. Ya. Shatskikhb

a Mercury Development Samara
b Samara National Research University
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DOI: https://doi.org/10.4213/tvp5382
Abstract: 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.
Keywords: conditional quantile reproducibility, copula, simplified pair copula construction.
Received: 29.11.2019
Revised: 16.02.2020
Accepted: 25.02.2020
English version:
Theory of Probability and its Applications, 2021, Volume 66, Issue 1, Pages 160–168
DOI: https://doi.org/10.1137/S0040585X97T990319
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: L. E. Melkumova, S. Ya. Shatskikh, “Conditional quantile reproducibility of multivariate distributions and simplified pair copula construction”, Teor. Veroyatnost. i Primenen., 66:1 (2021), 196–208; Theory Probab. Appl., 66:1 (2021), 160–168
Citation in format AMSBIB
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\by L.~E.~Melkumova, S.~Ya.~Shatskikh
\paper Conditional quantile reproducibility of~multivariate distributions and simplified pair copula construction
\jour Teor. Veroyatnost. i Primenen.
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\vol 66
\issue 1
\pages 196--208
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\transl
\jour Theory Probab. Appl.
\yr 2021
\vol 66
\issue 1
\pages 160--168
\crossref{https://doi.org/10.1137/S0040585X97T990319}
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  • https://www.mathnet.ru/eng/tvp/v66/i1/p196
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