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  • Воспроизводимость условных квантилей многомерных распределений и упрощенная конструкция из парных копул

Article

Воспроизводимость условных квантилей многомерных распределений и упрощенная конструкция из парных копул

Мелкумова Л. Э., Шатских С. Я.

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.