The Structure of the Class of Maximum Tsallis-Havrda-Chavát Entropy Copulas
نویسندگان
چکیده
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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ورودعنوان ژورنال:
- Entropy
دوره 18 شماره
صفحات -
تاریخ انتشار 2016