On the recovery of joint distributions from limited information

DOI10.1016/S0304-4076(01)00123-3zbMath1030.62001OpenAlexW2090108863MaRDI QIDQ1858943

Douglas J. Miller, Wei-Han Liu

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00123-3

zbMATH Keywords

copulamaximum entropyFréchet boundsShannon entropyfixed marginal distributionsKullback-Leibler cross-entropyminimumcross-entropy

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Statistical aspects of information-theoretic topics (62B10)

Related Items (9)

Generalized cross entropy method for estimating joint distribution from incomplete information ⋮ Stochastic frontier models with dependent error components ⋮ The price of independence in a model with unknown dependence ⋮ Large-Deviations Theory and Empirical Estimator Choice ⋮ A new bivariate Archimedean copula with application to the evaluation of VaR ⋮ Modelling the differences in counted outcomes using bivariate copula models with application to mismeasured counts* ⋮ Exponential series estimator of multivariate densities ⋮ A copula entropy approach to correlation measurement at the country level ⋮ Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing

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