Abstract. Sklar's theorem is an important tool that connects bidimensional distribution functions with their marginals by means of a copula. When there is imprecision about the marginals, we can model the available information by means of p-boxes, that are pairs of ordered distribution functions. Similarly, we can consider a set of copulas instead of a single one. We study the extension of Sklar's theorem under these conditions, and link the obtained results to stochastic ordering with imprecision.
We investigate the problem of approximating a coherent lower probability on a finite space by a 2-monotone capacity that is at the same time as close as possible while not including additional information. We show that this can be tackled by means of a linear programming problem, and investigate the features of the set of undominated solutions. While our approach is based on a distance proposed by Baroni and Vicig, we also discuss a number of alternatives: quadratic programming, extensions of the total variation distance, and the Weber set from game theory. Finally, we show that our work applies to the more general problem of approximating coherent lower previsions.
A p-box is a simple generalization of a distribution function, useful to study a random number in the presence of imprecision. We propose an extension of p-boxes to cover imprecise evaluations of pairs of random numbers and term them bivariate p-boxes. We analyze their rather weak consistency properties, since they are at best (but generally not) equivalent to 2-coherence. We therefore focus on the relevant subclass of coherent p-boxes, corresponding to coherent lower probabilities on special domains. Several properties of coherent p-boxes are investigated and compared with those of (one-dimensional) p-boxes or of bivariate distribution functions
Neighbourhoods of precise probabilities are instrumental to perform robustness analysis, as they rely on very few parameters. Many such models, sometimes referred to as distortion models, have been proposed in the literature, such as the pari mutuel model, the linear vacuous mixtures or the constant odds ratio model. This paper is the rst part of a two paper series where we study the sets of probabilities induced by such models, regarding them as neighbourhoods dened over specic metrics or premetrics. We also compare them in terms of a number of properties: precision, number of extreme points, n-monotonicity, behaviour under conditioning, etc. This rst part tackles this study on some of the most popular distortion models in the literature, while the second part studies less known neighbourhood models and summarises our ndings.
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