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...
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Published in | Entropy (Basel, Switzerland) Vol. 18; no. 7; p. 264 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
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MDPI AG
01.07.2016
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Abstract | 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. |
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AbstractList | 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. |
Author | Nelsen, Roger González-López, Verónica García, Jesús |
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SubjectTerms | Copula Full Bayesian Significance Test Tsallis–Havrda–Chavát entropy |
Title | The Structure of the Class of Maximum Tsallis–Havrda–Chavát Entropy Copulas |
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