Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145399 | Journal of Multivariate Analysis | 2015 | 21 Pages |
Abstract
We consider copulas with a given diagonal section and compute the explicit density of the unique optimal copula which maximizes the entropy. In this sense, this copula is the least informative among the copulas with a given diagonal section. We give an explicit criterion on the diagonal section for the existence of the optimal copula and give a closed formula for its entropy. We also provide examples for some diagonal sections of usual bivariate copulas and illustrate the differences between these copulas and the associated maximum entropy copula with the same diagonal section.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Cristina Butucea, Jean-François Delmas, Anne Dutfoy, Richard Fischer,