7 views

Uploaded by herpderp97

asdf

save

- Ep 07 Submitted
- 10.1.1.127
- 1. prob
- Bios Tats
- The Ins and Outs of Histograms with Excel
- Calculus - Square Root Function
- 1.2.pdf
- Slide 4
- 335 PMP Points
- laan1999
- UT Dallas Syllabus for se3341.501.08f taught by Michael Baron (mbaron)
- Syllabus03
- QUESTIONS and Answers
- tes9e_ch04.ppt
- Chapter 04
- ch5_6
- Document
- 2011 SYL
- Probability
- IP Traffic Characterization for Planning & Control
- Performance Evaluation of Digital Image Encryption Using Discrete Random Distributions and MOD Operator
- 2007-01
- Handout
- chapter 2
- Introduction to Probaility[1]
- 2012 Stats Mst
- Femap-58 Volume1 508
- 07779812.pdf
- Senior Feb4 Probset
- Risk Software Overview
- Sapiens: A Brief History of Humankind
- The Unwinding: An Inner History of the New America
- Yes Please
- Dispatches from Pluto: Lost and Found in the Mississippi Delta
- Elon Musk: Tesla, SpaceX, and the Quest for a Fantastic Future
- The Innovators: How a Group of Hackers, Geniuses, and Geeks Created the Digital Revolution
- John Adams
- Devil in the Grove: Thurgood Marshall, the Groveland Boys, and the Dawn of a New America
- A Heartbreaking Work Of Staggering Genius: A Memoir Based on a True Story
- Grand Pursuit: The Story of Economic Genius
- This Changes Everything: Capitalism vs. The Climate
- The Emperor of All Maladies: A Biography of Cancer
- The Prize: The Epic Quest for Oil, Money & Power
- Team of Rivals: The Political Genius of Abraham Lincoln
- The New Confessions of an Economic Hit Man
- The World Is Flat 3.0: A Brief History of the Twenty-first Century
- Rise of ISIS: A Threat We Can't Ignore
- Smart People Should Build Things: How to Restore Our Culture of Achievement, Build a Path for Entrepreneurs, and Create New Jobs in America
- The Hard Thing About Hard Things: Building a Business When There Are No Easy Answers
- How To Win Friends and Influence People
- Angela's Ashes: A Memoir
- Steve Jobs
- Bad Feminist: Essays
- The Light Between Oceans: A Novel
- The Silver Linings Playbook: A Novel
- Leaving Berlin: A Novel
- Extremely Loud and Incredibly Close: A Novel
- The Sympathizer: A Novel (Pulitzer Prize for Fiction)
- You Too Can Have a Body Like Mine: A Novel
- The Incarnations: A Novel
- Life of Pi
- The Love Affairs of Nathaniel P.: A Novel
- A Man Called Ove: A Novel
- Bel Canto
- The Master
- The Blazing World: A Novel
- The Rosie Project: A Novel
- The First Bad Man: A Novel
- We Are Not Ourselves: A Novel
- Brooklyn: A Novel
- The Flamethrowers: A Novel
- Wolf Hall: A Novel
- The Art of Racing in the Rain: A Novel
- The Wallcreeper
- Interpreter of Maladies
- Beautiful Ruins: A Novel
- The Kitchen House: A Novel
- The Perks of Being a Wallflower
- Lovers at the Chameleon Club, Paris 1932: A Novel
- The Bonfire of the Vanities: A Novel
- A Prayer for Owen Meany: A Novel
- The Cider House Rules
- Mislaid: A Novel

You are on page 1of 11

**Paul Embrechts1 , Marius Hofert2
**

2014-02-17

Abstract

Motivated by too restrictive or even incorrect statements about generalized inverses in

the literature, properties about these functions are investigated and proven. Examples

and counterexamples show the importance of generalized inverses in mathematical

theory and its applications.

Keywords

Increasing function, generalized inverse, distribution function, quantile function.

MSC2010

60E05, 62E15, 26A48.

1 Introduction

It is well known that a real-valued, continuous, and strictly monotone function of

a single variable possesses an inverse on its range. It is also known that one can

drop the assumptions of continuity and strict monotonicity (even the assumption of

considering points in the range) to obtain the notion of a generalized inverse. Generalized

inverses play an important role in probability theory and statistics in terms of quantile

functions, and in financial and insurance mathematics, for example, as Value-at-Risk

or return period. Generalized inverses of increasing functions which are not necessarily

distribution functions also frequently appear, for example, as transformations of random

variables. In particular, proving the famous invariance principle of copulas under strictly

increasing transformations on the ranges of the underlying random variables involves

such transformations.

One can often work with generalized inverses as one does with ordinary inverses. To

see this, one has to have several properties about generalized inverses at hand. Although

these properties are often stated in the literature, one rarely finds detailed proofs of these

results. Moreover, some of the statements found and often referred to are incorrect.

The main goal of this paper is therefore to state and prove important properties about

generalized inverses of increasing functions. Furthermore, examples which stress their

1

RiskLab, Department of Mathematics and Swiss Finance Institute, ETH Zurich, 8092 Zurich, Switzerland, embrechts@math.ethz.ch

2

RiskLab, Department of Mathematics, ETH Zurich, 8092 Zurich, Switzerland, marius.hofert@math.

ethz.ch. The author (Willis Research Fellow) thanks Willis Re for financial support while this work

was being completed.

1

y ∈ R. Serfling (2002). this definition might be different from what one would expect. see Chakak and Imlahi (2001). 3). T : R → R is increasing if T (x) ≤ T (y) for all x < y. 554). p. which is often also considered as the quantile function on the whole unit interval [0. Note that evaluating increasing functions at the symbols −∞ or ∞ is always understood as the corresponding limit (possibly being −∞ or ∞ itself). In the context of increasing functions in general. Embrechts et al. For different notions of multivariate inverses in the context of quantile functions. and McNeil et al. the 0-quantile of a distribution function F is always F − (0) = −∞. (2) Definition 2. Klement et al. For distribution functions F with F (x) = 0 for some x ∈ R. that is. Note that we only consider univariate functions in this paper. T − coincides with T −1 . ∞] of T is defined by limx↑∞ T (x). Definition 2. ¯ is also called the quantile function of T . Before we begin. 1] is a distribution function. Another way to obtain F − (0) = 0 for distribution functions with F (x) = 0 for some x ∈ R would be to restrict the 2 . we understand increasing in the sense of non-decreasingness. the ordinary inverse of T on ran T = {T (x) : x ∈ R}. for the distribution function F (x) = 1 − exp(−x) of the standard exponential distribution. For example.2 (1) If T is continuous and strictly increasing. Some properties of generalized inverses can also be found in Teschl and Falkner (2012). the range of T . To get this from the definition. let us point out some references. 130. 1] → R Remark 2. Witting (1985). The following definition captures the notion of an inverse for such functions. for example. which makes statements and proofs involving generalized inverses more complicated.2 Generalized inverses and quantile functions importance are presented and counterexamples for incorrect statements in the literature are given. 2 Generalized inverses and quantile functions Throughout this article. T − : [0. or Fraiman and Pateiro-López (2011). (1997. 1]. see for instance Resnick (1987. (1999) introduce pseudo. If T : R → [0. Serfling (2008).and quasi-inverses and provide properties of such functions. the generalized inverse T − : R → R T − (y) = inf{x ∈ R : T (x) ≥ y}. (1) with the convention that inf ∅ = ∞.1 For an increasing function T : R → R with T (−∞) = limx↓−∞ T (x) and T (∞) = ¯ = [−∞. 1] implying that F − (0) = 0. specifically defines the 0-quantile as F − (0) = sup{x ∈ R : F (x) = 0}. (2005. such a definition would require one to treat the case where T is constant to the left of some point as a special case. the corresponding quantile function is F − (y) = − log(1 − y) on y ∈ (0.1 for generalized inverses and quantile functions essentially appears throughout the stochastics literature. p. 39). p. By this definition.

For the distribution function of the standard exponential distribution. Finally. and let x. sup ran T } implies T (T − (y)) = y. P) as F (x) = P(X ≤ x). from the definition of a distribution function F of a random variable X on a probability space (Ω. Second. (4) Let T be right-continuous. T − (y2 ) y2 y1 T − (y1 ) T − (y1 ) T − (y2 ) y1 y2 Figure 1 An increasing function (left) and its corresponding generalized inverse (right). There are several reasons for not treating 0-quantiles any differently. even outside the range of X. T − (T (x)) = x. Moreover. y ∈ ran T ∪ {inf ran T. (1) T − (y) = −∞ if and only if T (x) ≥ y for all x ∈ R. So generally. as mentioned above. Flat parts of T precisely correspond to jumps in T − . It highlights the two major differences to ordinary inverses. such definitions make it more complicated to work with these functions. T is allowed to be non-continuous and the jumps of T precisely correspond to flat parts of T − . T − (y) = ∞ if and only if T (x) < y for all x ∈ R. Second. y ∈ R. the domain of a univariate distribution function should always be R and Definition 2. one could define the quantile function as F − (y) = inf{x ∈ [0. for example. Furthermore. (2) T − is increasing. Generalized inverses T − are best thought of in terms of Figure 1.2 Generalized inverses and quantile functions domain of F in (1) to a subset of R. When working with generalized inverses. if y < inf ran T 3 . First. (3) T − (T (x)) ≤ x. T is allowed to be flat. T − is left-continuous at y and admits a limit from the right at y. let us remark that from a statistical or practical point of view. First. it makes perfect sense to ask for the value of F at any x ∈ R. ∞). If T − (y) ∈ (−∞. Proposition 2. If T is strictly increasing. Then T − (y) < ∞ implies T (T − (y)) ≥ y. Similarly. ∞) : F (x) ≥ y}.3 Let T : R → R be increasing with T (−∞) = limx↓−∞ T (x) and T (∞) = limx↑∞ T (x). the 0-quantile is irrelevant anyway. the following properties are often useful.1 respects that. F. Then.

then (T1 ◦ T2 )− = T2− ◦ T1− . then ε = (x0 − x)/2 implies yn ≤ T (xn + ε) ≤ T (x0 − ε) < y0 . . Similarly for y = sup ran T . (2) T − is increasing since {x ∈ R : T (x) ≥ y2 } ⊆ {x ∈ R : T (x) ≥ y1 } for all y1 . let yn ↓ y ∈ R : T − (y) > −∞ and note that (T − (yn ))n∈N is decreasing and bounded from below by T − (y). Since T is increasing. so T (T − (y)) ≥ y. where T − (y−) = limz↑y T − (z) and T − (y+) = limz↓y T − (z). T is strictly increasing if and only if T − is continuous on ran T . This implies T − (y) ≥ x. T − (y+)) ⊆ {x ∈ R : T (x) = y} ⊆ [T − (y−). note that T − (y) ≤ x implies y ≤ T (T − (y)) ≤ T (x). Furthermore. Now let T − (y) ∈ (−∞. note that T being strictly increasing implies that there is no z < x with T (z) ≥ T (x). thus T (T − (y)) = T (−∞) = inf ran T > y.1. 2. 4 . By definition of T − . T − (y+)]. note that y < inf ran T implies T − (y) = −∞. Since T is increasing. (8) If T1 and T2 are right-continuous transformations with properties as T .2 Generalized inverses and quantile functions then T (T − (y)) > y and if y > sup ran T then T (T − (y)) < y. (6) (T − (y−). For the first part of the last statement. Now let y = inf ran T and without loss of generality. 1. T − (y) < ∞ implies that A = {x ∈ R : T (x) ≥ y} = 6 ∅. (3) The first part follows by definition of T − . thus T − (T (x)) ≥ x. y2 ∈ R : y1 < y2 . Similarly for y > sup ran T . T (xn − ε) < yn ≤ T (xn + ε) for all ε > 0 and n ∈ N0 = {0. . To show that T − admits a limit from the right at y. thus y0 = limn↑∞ yn ≤ T (x0 − ε) < y0 . T (x) < y implies x ≤ T − (y). T (xn ) = y. where y ≤ T (T − (y)) follows from (4) since T is right-continuous. (7) T is continuous if and only if T − is strictly increasing on [inf ran T. there exists (xn )n∈N ⊆ A with xn ↓ inf A = T − (y) for n → ∞. The other implication holds if T is right-continuous. let (yn )n∈N ⊆ R : yn ↑ y0 . thus xn % x ≤ x0 for n → ∞ for some x ∈ R (where “xn % x” is used to denote that xn converges monotonically (increasing) to x). ∞) and for convenience. Now consider the second part. a contradiction. thus T (T − (y)) = y. (5) The first statement follows by definition of T − . we obtain T (T − (y)) = T (−∞) = inf{T (x) : x ∈ R} = inf ran T = y. let x ∈ R be such that T (x) < y and z be any real number with T (z) ≥ y. For the second part. z ≥ x. Then xn := T − (yn ) ≤ x0 := T − (y0 ). here “T (T − (y)) . By right-continuity of T . }. This implies T − (y) = −∞. thus. let y0 = y. First let y ∈ ran T and define A = {x ∈ R : T (x) = y} 6= ∅. . If x < x0 . For the second statement. For the last part. Proof (1) This statement directly follows from Definition 2. Note that inf A = T − (y) and conclude that T (T − (y)) . (5) T (x) ≥ y implies x ≥ T − (y). T (T − (y)) . sup ran T ]. assume y∈ / ran T (otherwise the previous part applies). To show left-continuity in y0 . T (xn )” is used to denote that T (xn ) converges monotonically (decreasing) to T (T − (y)). T (xn ) ≥ y. (4) For the first part.

sup ran T ]. this implies that T − is constant on [y3 . y). For the only if part. For the former. we obtain T (x−) ≤ y1 < y2 ≤ T (x+). (1997. T − (z2 ) ≤ x. there exist ε1 . Now consider the second statement. By (ii) one has either T (x) < y or T (x) > y. thus T − is discontinuous at y. Remark 2. Since T is increasing. sup ran T ]. there exist y1 . By definition of T − . For the only if part. without loss of generality assume the latter. T − (y+)). Embrechts et al. and y0 := T (x0 ) ∈ [y1 . For example.6 (a)) state that if T : R → R is increasing and right-continuous. This implies that (i) T − (y−) < x < T − (y+) and (ii) T (x) 6= y. Proposition A1. We show T − (y−) ≤ inf Ay and sup Ay ≤ T − (y+). Letting ε ↓ 0. According to Proposition 5 . (7) Consider the first statement. y2 ∈ R with inf ran T ≤ y1 < y2 ≤ sup ran T such that T − (y) = x for all y ∈ [y1 . they are often stated under stronger conditions. note that by definition of Ay . For this we apply (6). By (2). For the if part. there exists a y ∈ R such that Ay contains an open interval. that is. which contradicts T − (z2 ) > x + ε2 for all z2 > y. this implies that T (x − ε) < y1 < y2 ≤ T (x + ε) for all ε > 0. Note that for all y ∈ [y3 . First. If T (x) > y. T − (y+)) ⊆ Ay . consider (T − (y−). Ay ⊆ By := {x ∈ R : T (x) ≥ y} implies that T − (y−) ≤ T − (y) = inf By ≤ inf Ay . assume Ay 6= ∅. T − (y+)]. y4 ∈ R such that either y1 ≤ y0 < y3 < y4 < y2 or y1 < y3 < y4 < y0 ≤ y2 . x + ε2 ]. T − is increasing. let z > y and x ∈ Ay . T − is not strictly increasing on [inf ran T. that is. It follows from the second inclusion in (6) that T − (y−) < T − (y+). then T (x) ≥ y if and only if x ≥ T − (y). 555. However. y2 ]. Without loss of generality. ε2 > 0 such that T − (z1 ) < x − ε1 < x + ε2 < T − (z2 ) for all z1 < y < z2 . Now consider Ay ⊆ [T − (y−). (8) Applying (5) to T1 and T2 leads to (T1 ◦ T2 )− (y) = inf{x ∈ R : T1 (T2 (x)) ≥ y} = inf{x ∈ R : x ≥ T2− (T1− (y))} = T2− (T1− (y)). let T − be not strictly increasing on [inf ran T. By (i). We show that T is not strictly increasing if and only if T − is discontinuous on ran T . This implies that for all z > y. For the latter. y1 < y2 .2 Generalized inverses and quantile functions (6) Let Ay = {x ∈ R : T (x) = y}. that is T is discontinuous at x. Then T (x) = y < z and (5) implies that T − (z) ≥ x. Since T (x) < z1 . We show that T is discontinuous if and only if T − is not strictly increasing on [inf ran T. y2 ] and an x ∈ R.4 (1) Many of the properties listed in Proposition 2. let T be discontinuous at x0 ∈ R. It follows that for all z > y. By definition of T − . let z1 = (T (x)+y)/2 ∈ (T (x). y4 ] ⊆ [inf ran T. If T (x) < y. For the if part. T − (z) ≥ x for all x ∈ Ay . it follows from (5) that x ≤ T − (z1 ) which contradicts the fact that T − (z1 ) < x − ε1 for all z1 < y. Now there exist y3 . thus T is not strictly increasing. p. thus T − (y) ∈ [x − ε1 . T − (y+))\Ay . By definition of T − .3 can be found in the literature. y ∈ ran T . Assume there exists an x ∈ (T − (y−). this implies that y1 := T (x0 −) := limx↑x0 T (x) and y2 := T (x0 +) := limx↓x0 T (x) exist. let z2 = T (x) > y. T − (z) ≥ sup Ay . y4 ]. y ∈ / ran T . sup ran T ]. there exists a y ∈ ran T such that T − (−y) < T − (y+). which in turn implies that T − (y+) ≥ sup Ay . It follows from the first inclusion in (6) that Ay contains the (non-empty) open interval (T − (−y). sup ran T ].

0]. if T − (yn ) = ∞ from some n on.3.3 (5). Since T − is increasing and T − (y) = ∞ (that is T − (y) = ∞ if and only if T (x) < y for all x ∈ R). 3 Examples and counterexamples Generalized inverses appear at various points in the literature. Similarly for the limit from the right (which can only be ∞ since T − (yn ) = ∞. x ∈ R. (5) The first statement of Proposition 2. In probability and statistics.3 (2). it is clear that T − (yn ) % ∞ for n → ∞. Then T (x) = T (0) = 0 < 1/2 = y although x = 0 ≥ 0 = T − (1/2) = T − (y).∞) (x) (the indicator function of the positive real numbers). the indicator function of the non-negative real numbers.∞) (x). Also. they mainly appear as quantile functions. Thus. As a counterexample. As an example. (3) Consider the second statement in Proposition 2. note that the notions of left-continuity and limits from the right do not exist in their classical definitions if T − (y) = ∞. It 6 . The first establishes the relation between any univariate distribution function and the uniform distribution on the unit interval. since quantities such as |T − (yn )−T − (y)| do not make sense for the epsilon-delta definition of left-continuity if T − (y) = ∞ (if T − (yn ) is finite for all n. 1]. T − (y) = 0 for y ∈ (0.3 (5) does not hold in general. The second result shows the invariance principle of copulas under strictly increasing transformations on the ranges of the underlying random variables. We now prove some important results involving generalized inverses and quantile functions based on the results of Proposition 2. Then T − (y) = −∞ for y ∈ (−∞. which is clear from Figure 1 if one considers the point y = y2 for example. and T − (y) = ∞ for y ∈ (1.3 Examples and counterexamples 2. (1997) and the references therein. and y = 1/2. Many of the basic results in extreme value theory involve generalized inverses. This is important for sampling and goodness-of-fit testing of univariate distributions. see for instance Embrechts et al. (4) To see that the other implication of the first statement in Proposition 2. Let us remark that T is also a distribution function. then it is not even defined).3 (7) is not correct anymore if T − is only strictly increasing on ran T . x = 0. right-continuity is not needed for the only if part of the statement. the median and interquartile range are defined in terms of quantile functions. but as before. But one can not talk about left-continuity here. This is an important result from the theory of dependence modeling between random variables via copulas. 1} but T is not continuous. for example. (2) Concerning Proposition 2. T − is strictly increasing on ran T = {0. showing that T − (yn ) & T − (y) with the definition of convergence is not possible).3 (4). when building confidence intervals or in terms of quantile-quantile plots for goodness-of-fit tests. consider T (x) = 1[0. Note that the assumption y ∈ ran T can not be replaced by y ∈ [inf ran T. consider T (x) = 1(0. ∞). The same reasoning applies to the case where T − (y) = −∞. consider left-continuity and take a sequence (yn )n∈N ⊆ R : yn ↑ y. this absolute distance is ∞ for all n. sup ran T ] in general.

Although F may not be strictly increasing. for example Sklar (1996) or Rüschendorf (2009)). . we call any C which fulfills (2) a copula of H (or X). Finally. Transforming a random vector componentwise in this way. we discuss some incorrect statements which can be found in the literature. . . (2) If U ∼ U[0. (1) If F is continuous. it is so on ran X. . . it therefore follows that P(F − (F (X)) ≤ F − (x)) = P(X ≤ F − (x)) = F (F − (x)) for all x ∈ R. .3 (3). d}. 1].1 Examples An important application of quantile functions is the inversion method for generating random variables from univariate distributions in general. . x]) > 0 for all h > 0}. Thus P(F (X) ≤ x) = x. 1). . This distribution depends on the dependence structure of the transformed random variables and is captured by the underlying copula. xd ) = C(F1 (x1 ). Given X ∼ H. here and in what follows. . can be written as H(x1 . any multivariate distribution function H with marginals Fj . Here. .3 (5). we say that H (or X) has copula C. This decomposition is uniquely defined on dj=1 ran Fj . F − (U ) ∼ F . x ∈ (0. By Sklar’s Theorem (see. Both applications are contained in the following proposition. however. By Proposition 2.3 (4) this equals x for all x ∈ (0. They play an important role in modeling dependencies between random variables. F (X) ∼ U[0.3 (7).1. The other way around. 1]. Fd (xd )). transforming a random variable by its continuous distribution function always leads to the same distribution. 1) ⊆ ran F . 1]. F − is strictly increasing on [0. the standard uniform distribution. Proposition 3.1 Let F be a distribution function and X ∼ F . Copulas are distribution functions with standard uniform univariate margins. similarly. which implies F (X) ∼ U[0. . We now prove some important statistical results about copulas. . (2) By Proposition 2. (2) for a copula C. x ∈ Rd . the range ran X of a random variable X is defined as ran X = {x ∈ R : P(X ∈ (x − h.3 Examples and counterexamples allows one to study the dependence structure independent of the marginal distribution functions. P(F − (U ) ≤ x) = P(U ≤ F (x)) = F (x) for all x ∈ R. increasing transformations T (and their generalized inverses) as well as distribution functions (and Q 7 . Proof (1) By Proposition 2. This is often applied in Monte Carlo simulations. As we can see from Proposition 3. P(F (X) ≤ x) = P(F − (F (X)) ≤ F − (x)). 3. may lead to different multivariate distributions than the multivariate standard uniform distribution. it can be applied as a goodness-of-fit test for univariate distributions. 1]. By Proposition 2. j ∈ {1. Therefore.

. Fd− (Fd (Xd )) ≤ xd ) = P(F1 (X1 ) ≤ F1 (x1 ). d}) = P Fj Tj− (Tj (Xj )) ≤ uj . j ∈ {1. . Proof First consider the only if part. . the only if part of Proposition 3. . by Proposition 2. Applying Proposition 2. . . . . equals C(F1 (x1 ). .2 Let X = (X1 . . . . j ∈ {1. . . . . . Since X has copula C. . .3 (Invariance principle) (1) Let X = (X1 . . . where H denotes the distribution function of X and the last equality follows from Sklar’s Theorem. For the if part. . d}. . The following proposition addresses two versions of the famous invariance principle of copulas which involves increasing transformations of random variables. we have P(F1 (X1 ) ≤ u1 . By Sklar’s Theorem. . j ∈ {1. . . By Proposition 2. . Since Tj (Xj ) does not put mass outside ran Tj (Xj ).1 (1) implies that Fj (Xj ) is continuously distributed for all j ∈ {1.3 (3) that P(Gj (Tj (Xj )) ≤ uj . by Proposition 2. . it now follows from Proposition 2. . . . .3 (4) and since Tj is strictly increasing on ran Xj . and copula C. . Fd (Xd ) ≤ Fd (xd )). . Once more. the distribution function Gj of Tj (Xj ) is given by Gj (x) = P(Tj (Xj ) ≤ x) = P(Tj (Xj ) ≤ 8 . . j ∈ {1. p. j ∈ {1. . . . d}. . . d} = P(Fj (Xj ) ≤ uj . .3 Examples and counterexamples their quantile functions) naturally appear. Xd )T have joint distribution function H with marginals Fj . d}. . the claim then follows from the if part of Proposition 3. . . Xd )T have joint distribution function H with continuous marginals Fj .3 (5). Td (Xd ))T (also) has copula C. d}. . Td (Xd ))T (also) has copula C. . . . . the distribution function Gj of Tj (Xj ) is given by Gj (x) = P(Tj (Xj ) ≤ x) = P(Tj (Xj ) < x). d}. . . p. Proposition 3. (2005. d}. . by assumption. which. . .2. . . Xd )T have joint distribution function H with continuous marginals Fj . . which. Fd (Xd ) ≤ ud ) = P(F1 (X1 ) < u1 . d}. . . see for instance McNeil et al. . . . . . d}. . . . . . d}. . . . Then X has copula C if and only if (F1 (X1 ). . . . . . Gj is (even) continuous on R.3 (3) and (5) leads to P(X ≤ x) = P(F1− (F1 (X1 )) ≤ x1 .2 implies that this equals C(u). these results are well-known. . Xd ≤ Fd− (ud )) = H(F1− (u1 ). . Tj− is continuous on ran Tj (Xj ). . . j ∈ {1. Since Fj is continuous and. Fd (xd )). Let Tj : R → R be right-continuous and strictly increasing on ran Xj . . . (2) By Proposition 2. d}. Then (T1 (X1 ). d}). Fd (Xd ) < ud ) = P(X1 < F1− (u1 ). . . j ∈ {1. . Xd < Fd− (ud )) = P(X1 ≤ F1− (u1 ). . d}. .3 (7). . By continuity of Gj . this means that X has copula C. . . Fd− (ud )) = C(u). . . . . j ∈ {1. . j ∈ {1. . 25). Proposition 3. j ∈ {1. . . Fd (Xd ))T ∼ C. Proposition 3. . . Gj is continuous on ran Tj (Xj ). As Tj is strictly increasing on ran Xj . . . . . equals P(Xj < Tj− (x)) = P(Xj ≤ Tj− (x)) = Fj (Tj− (x)). . and copula C. and since Xj is continuously distributed for all j ∈ {1. . Since Xj is continuously distributed and Tj is strictly increasing on ran Xj . . 188) or Nelsen (2006. . (2) Let X = (X1 .3 (5). . . j ∈ {1. Then (T1 (X1 ). . note that Fj is strictly increasing on ran Xj for all j ∈ {1. Proof (1) Assume without loss of generality that Tj is right-continuous at its (at most countably many) discontinuities. Let Tj : R → R be strictly increasing on ran Xj .

Since Tj (Xj ) does not take on values outside ran Tj with non-zero probability. consider T (x) = 1(0. Also note that by Proposition 2. By Sklar’s Theorem. as the following Statement 2 shows. this implies that Gj (x) = Fj (Tj− (x)) for all x ∈ R. then T (T − (y)) = y. However. Again from Sklar’s Theorem. d}) = H(T1− (x1 ). Statement 3 Embrechts et al. Again. . The following statement is the same as Statement 3. .3 (vi)) states that if T is increasing. But even both increasingness and right-continuity do not suffice. j ∈ {1. Inequality (0. Statement 1 McNeil et al. Proposition A1. Then T (T − (2)) = T (∞) = 1 < 2. p. see Proposition 2. so Statement 2 is not correct in general. . Proposition A1.3 Examples and counterexamples Tj (Tj− (x))) = P(Xj ≤ Tj− (x)) = Fj (Tj− (x)) for all x ∈ ran Tj . . then T (T − (y)) ≥ y. this equals C F1 (T1− (x1 )). .3 (4). . . j ∈ {1.2 Counterexamples Some important properties of generalized inverses for increasing functions stated in the literature are not correct. Then T (T − (1/2)) = T (0) = 0 < 1/2. Proposition A. 555. Applying the same logic implies P(Tj (Xj ) ≤ xj . 495. 3. From this counterexample we see that T also has to be rightcontinuous for T (T − (y)) ≥ y to hold. one may use the same counterexample as for Statement 2. Td (Xd ))T has copula C. . p. . . . which in particular also implies that y∈ / ran T ). As a counterexample for Statement 1. . consider the logistic function T (x) = 1/(1 + exp(−x)). . . . 9 . Fd (Td− ( xd )) = C(G1 (x1 ). (1997. then T (T − (y)) ≥ y. j ∈ {1. . d}. . .6 (d)) state that if T is increasing and continuous. As a counterexample for Statement 2.6b)) and Embrechts et al. 555. From this counterexample we see that T (T − (y)) ≥ y does not have to hold if T − (y) = ∞ (so if T (x) < y for all x ∈ R. j ∈ {1. . . . We now address some popular statements found in textbooks and give counterexamples. . under one additional assumption. d}) = P(Tj (Xj ) ≤ Tj (Tj− (xj )). 3. . We stress that these counterexamples specifically address increasing functions which are not distribution functions. . (2005. . . Td− (xd )).3 (4). . . p. it follows that (T1 (X1 ). . . Statement 2 Both Resnick (1987. Gd (xd )). this time taking y = −1.∞) (x). d}) = P(Xj ≤ Tj− (xj ). and y = 2. the logistic function can be used as a counterexample. (1997. the indicator function of the positive real numbers. the continuity assumption can be relaxed to right-continuity. in which case even T (T − (y)) = y is true. x ∈ R. so Statement 1 is not correct in general. To see that the following statement is not correct in general. . . p.6 (d)) state that if T is increasing and right-continuous. note that it does hold if T − (y) = ∞ as long as y = sup ran T . x ∈ R.

1]. Also Statements 3 and 4 become correct since continuity implies that ran F ⊇ (0. (2011).3 (4). Ferraty. 4 Conclusion We stated and proved several properties about generalized inverses. The latter statement particularly applies when going from probability distribution functions to more general increasing functions. 104. 1). Klüppelberg. R. Furthermore. Fabrizio Durante (Free University of Bozen-Bolzano). Proposition A. To see this. Bartosz Langowski. for y = 1 = sup ran F . E. Nelsen. Finally. Springer. Functional quantiles. A.. Finally. Thus.3 (4) implies F (F − (y)) = y for all y ∈ [0. (2006). the statement T (T − (y)) ≥ y is correct (given that T − (y) < ∞). Klement. Tools. McNeil. Modelling Extremal Events for Insurance and Finance. the authors would like to thank two anonymous referees for carefully reading the paper and giving suggestions. (2005). Serie A Matemáticas. Note that in contrast to Statement 4. C. Quasi. for which this article provides guidance. R. Furthermore. P. Acknowledgements The authors would like to thank Jozef Doboš (Pavol Jozef Šafárik University in Košice). and Mikosch. R. P. Statements 1 and 2 become correct. Techniques.3 (viii)) state that if T − (y) < ∞ and if T is increasing and continuous. 123–129. we gave examples to stress their importance from both a theoretical perspective and in applications. Embrechts.. and Pateiro-López. T. see Proposition 2.. B. and the construction of t-norms.4 Conclusion Statement 4 McNeil et al. L. Springer. P. and Embrechts. 1). Quantitative Risk Management: Concepts. (2005. Frey. Físicas y Naturales. 3–13. B. (1999). Mesiar. so that ran F ∪ {inf ran F. Princeton University Press. J.3 (4). Under this assumption. even under weaker assumptions (only right-continuity). the second part applies. 10 . F − (y) < ∞. (2001). A. p. ed. (1997). R. and Imlahi. and Wladimir Weinbender for giving valuable feedback on previous versions of this paper. Multivariate Probability Integral Transformation: Application to maximum likelihood estimation.. 495. let us now consider the special case of a distribution function F . then T (T − (y)) = y. Springer. Fraiman. Revista de la Real Academia de Ciencias Exactas.3 (4) applies. An Introduction to Copulas. References Chakak. sup ran F } = [0. Recent advances in functional data analysis and related topics. by F.. by Proposition 2. the second part of Proposition 2.and pseudo-inverses of monotone functions. 201–212. 95(2). Fuzzy Sets and Systems. and Pap. E.. note that for y ∈ [0. so the first part of Proposition 2. 1]. counterexamples for statements found in the literature show that one has to be aware of the precise statements when working with generalized inverses.

56.2012. 3921– 3927. L. Teubner. Serfling. (2008). utdallas. Extreme Values. Statistica Neerlandica. Random variables. Distributions with Fixed Marginals and Related Topics. N.002. Quantile Functions for Multivariate Analysis: Approaches and Applications. (1987). (2012).pdf (2011-07-17). and copulas – a personal look backward and forward. R. and Point Processes. S.edu/~serfling/papers/Mahalanobis. 1–14. (1985). Regular Variation. 11 . A Mahalanobis Multivariate Quantile Function. Rüschendorf. 214–232. Serfling. Mathematische Statistik: Parametrische Verfahren bei festem Stichprobenumfang. H. A. (2009). Teschl. distribution functions. (2002). doi:10. and Falkner. G. Sklar’s Theorem. Springer.09.exmath. 28. R. On the substitution rule for Lebesgue–Stieltjes integrals. and the empirical copula process. Expositiones Mathematicae. Witting. I. (1996). Sklar. 139(11). Journal of Statistical Planning and Inference. http : / / www . On the distributional transform.1016/j.References Resnick.

- Ep 07 SubmittedUploaded byG.k. Florent
- 10.1.1.127Uploaded byLucian-Constantin Ungureanu
- 1. probUploaded byvishals1991
- Bios TatsUploaded bymissy74
- The Ins and Outs of Histograms with ExcelUploaded bySpider Financial
- Calculus - Square Root FunctionUploaded byhilmi92
- 1.2.pdfUploaded bysattiyan
- Slide 4Uploaded byDarylDeebrah
- 335 PMP PointsUploaded byAslam Soni
- laan1999Uploaded byBunty Evol
- UT Dallas Syllabus for se3341.501.08f taught by Michael Baron (mbaron)Uploaded byUT Dallas Provost's Technology Group
- Syllabus03Uploaded bykirkbyjl
- QUESTIONS and AnswersUploaded byJohn Mugambi
- tes9e_ch04.pptUploaded bySitiKurniaFatimah
- Chapter 04Uploaded byHillary Wooden
- ch5_6Uploaded bycarl domingo
- DocumentUploaded bySudha Suda
- 2011 SYLUploaded byMinakshi Barman
- ProbabilityUploaded byLuis Alberto Martínez Benítez
- IP Traffic Characterization for Planning & ControlUploaded bydodnikova
- Performance Evaluation of Digital Image Encryption Using Discrete Random Distributions and MOD OperatorUploaded byInternational Organization of Scientific Research (IOSR)
- 2007-01Uploaded byLuminita Duta
- HandoutUploaded byDurai Pandian
- chapter 2Uploaded byKatie Cook
- Introduction to Probaility[1]Uploaded byRangothri Sreenivasa Subramanyam
- 2012 Stats MstUploaded byElle Smart
- Femap-58 Volume1 508Uploaded byPrima Adhiyasa
- 07779812.pdfUploaded bysdfsadf
- Senior Feb4 ProbsetUploaded bymyasmreg
- Risk Software OverviewUploaded byArturo Quiñones