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Papers.AnsariRockel2024.FamilyExtensions

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Further FGM and Nelsen 7 table entries #

Density TP2 is explicitly distinguished from TP2 of the CDF. The FGM classification below concerns its displayed continuous density, together with a genuine density witness in the nonnegative parameter range.

theorem Papers.AnsariRockel2024.fgm_density (θ : ℝ) (hθ : |θ| ≤ 1) :
(ProbabilityTheory.Copula.fgm θ hθ).toMeasure = MeasureTheory.volume.withDensity fun (x : Fin 2 → ↑unitInterval) => ENNReal.ofReal (1 + θ * (1 - 2 * ↑(x 0)) * (1 - 2 * ↑(x 1)))
theorem Papers.AnsariRockel2024.fgm_density_tp2_iff (θ : ℝ) :
(ProbabilityTheory.IsTP2 fun (u v : ↑unitInterval) => 1 + θ * (1 - 2 * ↑u) * (1 - 2 * ↑v)) ↔ 0 ≤ θ
theorem Papers.AnsariRockel2024.nelsen7_cdf (θ u v : ↑unitInterval) :
(ProbabilityTheory.Copula.nelsen7 θ).cdf ![u, v] = max 0 (↑θ * ↑u * ↑v + (1 - ↑θ) * (↑u + ↑v - 1))