RUS  ENG
Full version
JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2021 Volume 66, Issue 1, Pages 196–208 (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

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

DOI: 10.4213/tvp5382


 English version:
Theory of Probability and its Applications, 2021, 66:1, 160–168

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2025