Copulas in Hilbert spaces

Abstract

In this article, the concept of copulas is generalised to infinite dimensional Hilbert spaces. We show one direction of Sklar’s theorem and explain that the other direction fails in infinite dimensional Hilbert spaces. We derive a necessary and sufficient condition which allows to state this direction of Sklar’s theorem in Hilbert spaces. We consider copulas with densities and specifically construct copulas in a Hilbert space by a family of pairwise copulas with densities.

Keywords:

• Copulas
• Gaussian copulas
• pairwise copulas
• Hilbert spaces
• cylindrical measures

AMS Subject Classifications:

• 62H20
• 60E05
• 28D20
• 94A17

Notes

No potential conflict of interest was reported by the authors.