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I have read from the Sklar's theorem that for continuous random variables, then copula is unique. I really do not understand why? Could someone please explain to me why the copula not unique if the random variables are not continuous? If there is a peer reviewed paper, that would be very helpful.

Avraham
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F.Thomas
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  • Welcome to the site! This https://stats.stackexchange.com/questions/341011 would be a duplicate but unfortunately does not have an answer yet – Juho Kokkala Dec 11 '18 at 07:03

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