Weighted Entropic Copula from Preliminary Knowledge of Dependence

Ioana Panait

doi:10.2478/auom-2018-0014

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Weighted Entropic Copula from Preliminary Knowledge of Dependence

Analele ştiinţifice ale Universităţii "Ovidius" Constanţa. Seria Matematică

Volume 26 (2018): Issue 1 (March 2018)

By: Ioana Panait

Open Access

|Mar 2018

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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