An information-theoretic approach to statistical dependence: Copula information
نویسندگان
چکیده
منابع مشابه
An information theoretic approach to statistical dependence: copula information
We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and dependence components, with the latter quantified by the mutual information. We define the information excess as a measure of deviation from a maximum entropy distribution. The idea of marginal invariant ...
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ژورنال
عنوان ژورنال: EPL (Europhysics Letters)
سال: 2009
ISSN: 0295-5075,1286-4854
DOI: 10.1209/0295-5075/88/68003