Dependent Possibilistic Arithmetic using Copulas
Proceedings of the Twelveth International Symposium on Imprecise Probability: Theories and Applications, PMLR 147:169–179-169–179, 2021.
We describe two functions on possibility distributions which allow one to compute binary operations with dependence either specified by a copula or partially defined by an imprecise copula. We use the fact that possibility distributions are consonant belief functions to aggregate two possibility distributions into a bivariate belief function using a version of Sklar’s theorem for minitive belief functions, i.e. necessity measures. The results generalise previously published independent and Fréchet methods, allowing for any stochastic dependence to be specified in the form of a (imprecise) copula. This new method produces tighter extensions than previous methods when a precise copula is used. These latest additions to possibilistic arithmetic give it the same capabilities as p-box arithmetic, and provides a basis for a p-box/possibility hybrid arithmetic. This combined arithmetic provides tighter bounds on the exact upper and lower probabilities than either method alone for the propagation of general belief functions.