The Structure of the Class of Maximum Tsallis–Havrda–Chavát Entropy Copulas

A maximum entropy copula is the copula associated with the joint distribution, with prescribed marginal distributions on [ 0 , 1 ] , which maximizes the Tsallis–Havrda–Chavát entropy with q = 2 . We find necessary and sufficient conditions for each maximum entropy copula to be a copula in the class...

Full description

Saved in:
Bibliographic Details
Published inEntropy (Basel, Switzerland) Vol. 18; no. 7; p. 264
Main Authors García, Jesús, González-López, Verónica, Nelsen, Roger
Format Journal Article
LanguageEnglish
Published MDPI AG 01.07.2016
Subjects
Copula
Full Bayesian Significance Test
Tsallis–Havrda–Chavát entropy
Online AccessGet full text

Cover

More Information
Summary:A maximum entropy copula is the copula associated with the joint distribution, with prescribed marginal distributions on [ 0 , 1 ] , which maximizes the Tsallis–Havrda–Chavát entropy with q = 2 . We find necessary and sufficient conditions for each maximum entropy copula to be a copula in the class introduced in Rodríguez-Lallena and Úbeda-Flores (2004), and we also show that each copula in that class is a maximum entropy copula.
ISSN:1099-4300
1099-4300
DOI:10.3390/e18070264