Maximum entropy copula with given diagonal section

Cristina Butucea, Jean-François Delmas, Anne Dutfoy and Richard Fischer

Journal of Multivariate Analysis, 2015, vol. 137, issue C, 61-81

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: Copula; Entropy; Diagonal section (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2015.01.003

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