Minimum Information Copulas and Related Topics

• Sei Tomonari

  東京大学大学院情報理工学系研究科

Bibliographic Information

Other Title

• 最小情報コピュラとその周辺
• サイショウ ジョウホウ コピュラ ト ソノ シュウヘン

Abstract

A minimum information copula is a copula that is closest to the independent one under given moment restrictions. The obtained class is interpreted as a copula version of exponential families and is mathematically of interest. In this paper, we review the definition and fundamental properties together with concrete examples. In particular, we overview its relationship with information geometry, matrix scaling and optimal transport theoryvia discrete approximation of copulas. Estimation methods of parameters are also discussed.

Journal

• Journal of the Japan Statistical Society, Japanese Issue

  Journal of the Japan Statistical Society, Japanese Issue 51 (1), 75-99, 2021-09-15

  Japan Statistical Society

Keywords

• コピュラモデリング
• 行列スケーリング
• 情報幾何
• 最大エントロピー
• 正規化関数
• 最適輸送

Details

• CRID: 1390289387100565504
• NII Article ID: 130008088082
• NII Book ID: AA1105098X
• DOI: 10.11329/jjssj.51.75
• ISSN: 21891478
• ISSN: 03895602
• NDL BIB ID: 031781316
• Web Site: http://id.ndl.go.jp/bib/031781316
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I031781316
• Text Lang: ja
• Data Source:
  • JaLC
  • NDL
  • CiNii Articles
  • KAKEN
• Abstract License Flag: Disallowed