Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence

This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by maximizing S...

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Bibliografiske detaljer

Principais autores:	Ba Chu, Stephen Satchell
Format:	Artigo
Sprog:	Inglês
Udgivet:	MDPI AG 2016-03-01
Serier:	Econometrics
Fag:	entropy relative entropy measure of joint dependence copula most entropic copula canonical kullback-Leibler cross entropy
Online adgang:	http://www.mdpi.com/2225-1146/4/2/20
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