On families of bivariate copulas and their interrelation with the Hilbert space l2 and the Hilbert cube H

Abstract

The Markov kernel based metric $D_1$ was introduced in 2011 in order to construct the scale-invariant dependence measure $ζ_1$, which assign each bivariate copula $C$ a dependence value in $[0,1]$, with $0$ exclusively for the case of independence, and $1$ exclusively for complete/functional dependence. In the original paper it has been shown that the resulting metric space $(\mathcal{C},D_1)$ is separable and complete, however, no further topological properties were studied. Considering that $D_1$ has proved useful in a variety of contexts, using tools from infinite-dimensional topology, we here close this gap, show that $(\mathcal{C},D_1)$ is homeomorphic to the Hilbert space $(\ell_2,\Vert \cdot \Vert_2)$, and prove that several subfamilies are either homeomorphic to $(\ell_2,\Vert \cdot \Vert_2)$ or to the Hilbert cube $(\mathcal{H},ρ)$. Moreover, allowing for a better assessment of relative sizes, we show that various subfamilies are so-called $Z$-sets in $(\mathcal{C},D_1)$, implying that they are topologically negligible in the full space.