Weighted Entropic Copula from Preliminary Knowledge of Dependence

Panait, Ioana

doi:10.2478/auom-2018-0014

Abstract

This paper introduces a weighted entropic copula from preliminary knowledge of dependence. Considering a copula with common distribution we formulate the weighted entropy dependence model (WMEC). We give an approximator for the copula function of this problem. Also, we discuss some asymptotical properties regarding the unknown parameters of the model.

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Weighted Entropic Copula from Preliminary Knowledge of Dependence

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