CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS

DOI10.1017/S1446788718000228MaRDI QIDQ4972092zbMATH OpenOpenAlexFDO

Authors Jonathan M. Borwein, Phil Howlett

Publication date 22 November 2019

Published in Journal of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s1446788718000228

zbMATH Keywords

convex analysisFenchel dualityjoint probability distributionsmaximum entropyoptimization

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Optimality conditions and duality in mathematical programming (90C46) Measures of information, entropy (94A17)

Recommendations

• Copulas with maximum entropy
• Checkerboard copula defined by sums of random variables
• Estimating checkerboard approximations with sample d-copulas
• Maximum entropy copula with given diagonal section
• Mixture representation of the maximum entropy density through Archimedean copulas
• A maximum entropy copula model for mixed data: representation, estimation and applications
• On mixtures of copulas and mixing coefficients
• Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables
• Perturbations of copulas and mixing properties
• Maximum-entropy distributions of nonnegative random variables with conditional-additive structure

Cites work

• An introduction to copulas. Properties and applications
• Convex analysis and nonlinear optimization. Theory and examples.
• Convex functions. Constructions, characterizations and counterexamples
• Copulas with maximum entropy
• scientific article; zbMATH DE number 3748742 (Why is no real title available?)
• scientific article; zbMATH DE number 3477343 (Why is no real title available?)
• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• scientific article; zbMATH DE number 3095897 (Why is no real title available?)
• Maximum entropy methods for generating simulated rainfall
• Modelling and simulation of volumetric rainfall for a catchment in the Murray-Darling basin
• On the number of vertices of the stochastic tensor polytope

Cited in

(3)

• Checkerboard copula defined by sums of random variables
• Joint probabilities under expected value constraints, transportation problems, maximum entropy in the mean
• Copulas with maximum entropy

This page was built for publication: CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4972092)