CHECKERBOARD COPULAS OF MAXIMUM ENTROPY WITH PRESCRIBED MIXED MOMENTS

DOI10.1017/S1446788718000228zbMATH Open1437.60010OpenAlexW2901997903MaRDI QIDQ4972092FDOQ4972092

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

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zbMATH Keywords

optimizationconvex analysismaximum entropyFenchel dualityjoint probability distributions

Mathematics Subject Classification ID

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

Cites Work

• An introduction to copulas. Properties and applications
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• Convex functions. Constructions, characterizations and counterexamples
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• Convex analysis and nonlinear optimization. Theory and examples.
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• Maximum entropy methods for generating simulated rainfall
• Copulas with maximum entropy
• On the number of vertices of the stochastic tensor polytope
• MODELLING AND SIMULATION OF VOLUMETRIC RAINFALL FOR A CATCHMENT IN THE MURRAY–DARLING BASIN

Cited In (3)

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

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