The Fréchet transform
The Fréchet transform
Let F1,…,FN be 1-dimensional probability distribution functions and C be an N-copula. Define an N-dimensional probability distribution function G by G(x1,…,xN)=C(F1(x1),…,FN(xN)). Let ν, be the probability measure induced on ℝN by G and μ be the probability measure induced on [0,1]N by C. We construct a certain transformation Φ of …