Maximum Entropies Copulas

Doriano-Boris Pougaza (1) , Ali Mohammad-Djafari (1)

1 L2S - Laboratoire des signaux et systèmes

New families of copulas are obtained in a two-step process : first considering the inverse problem which consists of finding a joint distribution from its given marginals as the constrained maximization of some entropies (Shannon, Rényi, Burg, Tsallis-Havrda-Charvàt), and then using Sklar's theorem, to define the corresponding copula.

Domaines: Statistiques [math.ST]; Théorie [stat.TH]; Physique mathématique [math-ph]; Traitement du signal et de l'image [eess.SP]; Traitement du signal et de l'image [eess.SP]

Doriano-Boris Pougaza, Ali Mohammad-Djafari. Maximum Entropies Copulas. 30th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering, Jul 2010, France. pp.329-336, ⟨10.1063/1.3573634⟩. ⟨hal-00591062⟩