Fitting Copulas with Maximal Entropy
We deal with two-dimensional copulas from the perspective of their differential entropy. We formulate a problem of finding a copula with maximum differential entropy when some copula values are given. As expected, the solution is a copula with a piecewise constant density (a checkerboard copula). Th...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-01-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/27/1/87 |
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