A proper scoring rule for minimum information bivariate copulas

DOI10.1016/J.JMVA.2023.105271MaRDI QIDQ6200946zbMATH OpenFDO

Authors Yici Chen, Tomonari Sei

Publication date 25 March 2024

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2204.03118

zbMATH Keywords

copulahomogeneityKullback-Leibler divergencemulti-point localitynormalizing function

Mathematics Subject Classification ID

Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate analysis (62Hxx)

Abstract: Multi-dimensional distributions whose marginal distributions are uniform are called copulas. Among them, the one that satisfies given constraints on expectation and is closest to the independent distribution in the sense of Kullback-Leibler divergence is called the minimum information copula. The density function of the minimum information copula contains a set of functions called the normalizing functions, which are often difficult to compute. Although a number of proper scoring rules for probability distributions having normalizing constants such as exponential families are proposed, these scores are not applicable to the minimum information copulas due to the normalizing functions. In this paper, we propose the conditional Kullback-Leibler score, which avoids computation of the normalizing functions. The main idea of its construction is to use pairs of observations. We show that the proposed score is strictly proper in the space of copula density functions and therefore the estimator derived from it has asymptotic consistency. Furthermore, the score is convex with respect to the parameters and can be easily optimized by the gradient methods.

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Cited in

(2)

• Minimum information dependence modeling
• On the minimum information checkerboard copula under fixed Kendall's

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