2013/12/18 by Cristina Butucea, Butucea, Cristina, Jean‐François Delmas +5
Economics, Econometrics and Finance · Mathematics · #60E05 #62H05 #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Approximation and Integration #Statistics Theory (math.ST) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1312.5219
openalex publication_date 2013/12/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider copulas with a given diagonal section and compute the explicit density of the unique optimal copula which maximizes the entropy. In this sense, this copula is the least informative among the copulas with a given diagonal section. We give an explicit criterion on the diagonal section for the existence of the optimal copula and give a closed formula for its entropy. We also provide examples for some diagonal sections of usual bivariate copulas and illustrate the differences between them and the maximum entropy copula with the same diagonal section.