Vector Copulas and Vector Sklar Theorem

Abstract

This talk introduces vector copulas and establishes a vector version of Sklar’s theorem. The latter provides a theoretical justification for the use of vector copulas to characterize nonlinear or rank dependence between a finite number of random vectors (robust to within vector dependence), and to construct multivariate distributions with any given non-overlapping multivariate marginals. We construct Elliptical, Archimedean, and Kendall families of vector copulas and present algorithms to generate data from them. We introduce a concordance ordering for two random vectors with given within-dependence structures and generalize Spearman’s rho to random vectors. Finally, we construct empirical vector copulas and show their consistency under mild conditions.

Date
2021-01-30 11:00 AM PST
Speaker
Yanqin Fan (University of Washington (Econ))
Location
Online (zoom)
Pacific Institute for the Mathematical Sciences

This event is part of the Pacific Interdisciplinary Hub on Optimal Transport (PIHOT) which is a collaborative research group (CRG) of the Pacific Institute for the Mathematical Sciences (PIMS).