Copulas with maximum entropy

DOI10.1007/s11590-010-0254-2zbMath1280.90093OpenAlexW1992731417WikidataQ56935414 ScholiaQ56935414MaRDI QIDQ691414

Julia Piantadosi, Jonathan M. Borwein, Phil G. Howlett

Publication date: 30 November 2012

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-010-0254-2

zbMATH Keywords

copulamaximum entropyFenchel dualitygrade correlation

Mathematics Subject Classification ID

Convex programming (90C25) Probability distributions: general theory (60E05)

Related Items (12)

Reconstruction methods for networks: the case of economic and financial systems ⋮ Joint dependence distribution of data set using optimizing Tsallis copula entropy ⋮ Checkerboard copula defined by sums of random variables ⋮ Maximum entropy and feasibility methods for convex and nonconvex inverse problems ⋮ Unnamed Item ⋮ MODELLING AND SIMULATION OF VOLUMETRIC RAINFALL FOR A CATCHMENT IN THE MURRAY–DARLING BASIN ⋮ On the construction of minimum information bivariate copula families ⋮ Copula theory approach to stochastic geometric programming ⋮ Geometry of discrete copulas ⋮ CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS ⋮ Unnamed Item ⋮ Maximum entropy copula with given diagonal section

Uses Software

• Matlab

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Goodness-of-fit tests for copulas: A review and a power study
• On copulas and their diagonals
• Convex analysis and nonlinear optimization. Theory and examples.
• Multivariate extensions of Spearman's rho and related statistics
• An introduction to copulas. Properties and applications
• Entropy minimization, \(DAD\) problems, and doubly stochastic kernels
• Matching the grade correlation coefficient using a copula with maximum disorder
• Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Efficient Estimation of Semiparametric Multivariate Copula Models

This page was built for publication: Copulas with maximum entropy