Maximum entropy copula with given diagonal section
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DOI: 10.1016/j.jmva.2015.01.003
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References listed on IDEAS
- Nelsen, Roger B. & Molina, José Juan Quesada & Lallena, José Antonio Rodríguez & Flores, Manuel Úbeda, 2004. "Best-possible bounds on sets of bivariate distribution functions," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 348-358, August.
- Chu, Ba, 2011. "Recovering copulas from limited information and an application to asset allocation," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1824-1842, July.
- Nelsen, Roger B. & Quesada-Molina, José Juan & Rodriguez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2008. "On the construction of copulas and quasi-copulas with given diagonal sections," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 473-483, April.
- Rüschendorf, L. & Thomsen, W., 1993. "Note on the Schrödinger equation and I-projections," Statistics & Probability Letters, Elsevier, vol. 17(5), pages 369-375, August.
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Cited by:
- Arnold, Sebastian & Molchanov, Ilya & Ziegel, Johanna F., 2020. "Bivariate distributions with ordered marginals," Journal of Multivariate Analysis, Elsevier, vol. 177(C).
- Issey Sukeda & Tomonari Sei, 2025. "On the minimum information checkerboard copula under fixed Kendall’s $$\tau $$ τ," Statistical Papers, Springer, vol. 66(1), pages 1-39, January.
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Keywords
Copula; Entropy; Diagonal section;All these keywords.
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