Investigating the Configurations in Cross-Shareholding: A Joint Copula-Entropy Approach
نویسندگان
چکیده
Roy Cerqueti 1,†, Giulia Rotundo 2,*,† and Marcel Ausloos 3,† 1 Department of Economics and Law, University of Macerata, via Crescimbeni, 20, Macerata 62100, Italy; [email protected] 2 Department of Statistical Sciences, Sapienza University of Rome, p.le A. Moro 5, Roma 00185, Italy 3 School of Business, University of Leicester, University Road, Leicester LE1 7RH, UK; [email protected] * Correspondence: [email protected]; Tel.: +39-6-4991-0404 † These authors contributed equally to this work.
منابع مشابه
Recovering the Most Entropic Copulas from Preliminary Knowledge of Dependence
This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by maximizing Shannon entropy to yield a proper copula such that known dependence structures of data (e.g., meas...
متن کاملOn the Recovery of the Most Entropic Copulas from Prior Knowledge of Dependence
Although the use of nonparametric or parametric methods to construct a probability distribution from an actual data has become widespread in economics, procedure based on the entropy principle of Shannon (1948), and popularized by (Jaynes, 1957) provides a promising alternative as a method to recover a probability density that yields the highest level of uncertainty (i.e., randomness) from limi...
متن کاملThe Structure of the Class of Maximum Tsallis-Havrda-Chavát Entropy Copulas
A maximum entropy copula is the copula associated with the joint distribution, with prescribed marginal distributions on [0, 1], which maximizes the Tsallis–Havrda–Chavát entropy with q = 2. We find necessary and sufficient conditions for each maximum entropy copula to be a copula in the class introduced in Rodríguez-Lallena and Úbeda-Flores (2004), and we also show that each copula in that cla...
متن کاملMutual information is copula entropy
In information theory, mutual information (MI) is a difference concept with entropy.[1] In this paper, we prove with copula [2] that they are essentially same – mutual information is also a kind of entropy, called copula entropy. Based on this insightful result, We propose a simple method for estimating mutual information. Copula is a theory on dependence and measurement of association.[2] Skla...
متن کاملCopula–entropy theory for multivariate stochastic modeling in water engineering
The copula–entropy theory combines the entropy theory and the copula theory. The entropy theory has been extensively applied to derive the most probable univariate distribution subject to specified constraints by applying the principle of maximum entropy. With the flexibility to model nonlinear dependence structure, parametric copulas (e.g., Archimedean, extreme value, meta-elliptical, etc.) ha...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Entropy
دوره 20 شماره
صفحات -
تاریخ انتشار 2018