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Copula.Dependence.Density

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Identifying copula densities from their lower-orthant integrals #

theorem ProbabilityTheory.Copula.toMeasure_eq_withDensity_of_cdf_integral {d : ℕ} (C : Copula d) {f : (Fin d → ↑unitInterval) → ℝ} (hf : MeasureTheory.Integrable f MeasureTheory.volume) (hn : ∀ (x : Fin d → ↑unitInterval), 0 ≤ f x) (hF : ∀ (u : Fin d → ↑unitInterval), ∫ (x : Fin d → ↑unitInterval) in Set.Iic u, f x = C.cdf u) :

An integrable nonnegative candidate is the copula's density when its lower-orthant integrals agree with the CDF.

theorem ProbabilityTheory.Copula.integral_unit_Iic (f : ℝ → ℝ) (u : ↑unitInterval) :
∫ (t : ↑unitInterval) in Set.Iic u, f ↑t = ∫ (t : ℝ) in 0..↑u, f t
theorem ProbabilityTheory.Copula.integral_cube_Iic_mul (f g : ↑unitInterval → ℝ) (u v : ↑unitInterval) :
∫ (x : Fin (Nat.succ 0).succ → ↑unitInterval) in Set.Iic ![u, v], f (x 0) * g (x 1) = (∫ (t : ↑unitInterval) in Set.Iic u, f t) * ∫ (t : ↑unitInterval) in Set.Iic v, g t