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Lookup NU author(s): Dr Kevin Wilson
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License (CC BY-NC 4.0).
Copulas have become very popular as modelling tools in probability applications. Given a finite number of expectation constraints for functions defined on the unit square, the minimum information copula is that copula which has minimum information (Kullback–Leibler divergence) from the uniform copula. This can be considered the most “independent” copula satisfying the constraints. We demonstrate the existence and uniqueness of such copulas, rigorously establish the relation with discrete approximations, and prove an unexpected relationship between constraint expectation values and the copula density formula.
Author(s): Bedford T, Wilson KJ
Publication type: Article
Publication status: Published
Journal: Annals of the Institute of Statistical Mathematics
Print publication date: 01/08/2014
Online publication date: 20/08/2013
Acceptance date: 25/06/2013
Date deposited: 23/09/2015
ISSN (print): 0020-3157
ISSN (electronic): 1572-9052
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