Recovering the most entropic copulas from preliminary knowledge of dependence
Year of publication: |
2016
|
---|---|
Authors: | Chu, Ba ; Satchell, Stephen |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 4.2016, 2, p. 1-21
|
Publisher: |
Basel : MDPI |
Subject: | entropy | relative entropy measure of joint dependence | copula | most entropic copula | canonical | Kullback-Leibler cross entropy |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics4020020 [DOI] 86343911X [GVK] hdl:10419/171871 [Handle] |
Classification: | C19 - Econometric and Statistical Methods: General. Other ; C59 - Econometric Modeling. Other ; C13 - Estimation |
Source: |
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