On Entropy and Divergence Type Measures of Bivariate Extreme Value Copulas: Accepted - July 2024

Konstantinos Zografos

Forthcoming

On Entropy and Divergence Type Measures of Bivariate Extreme Value Copulas

Accepted - July 2024

Authors

Konstantinos Zografos University of Ioannina https://orcid.org/0000-0003-3677-7850

Keywords:

cumulative entropy, cumulative divergence, extreme value copula, Pickands dependence function, entropy of extreme value copula, divergence of extreme value copula

Abstract

Pickands dependence function is the basis of extreme value copulas which formulate the extreme dependence between random variables. Exact forms of cumulative entropy and divergence type measures, which was discussed recently in Zografos (2023), are determined on the light of bivariate extreme value copulas and they are formulated in terms of the Pickands dependence function. The results presented here provide a link between statistical information theory and copula theory.

Downloads

FP_REVSTAT2024_jul1

Published

2024-07-02

How to Cite

Zografos, K. (2024). On Entropy and Divergence Type Measures of Bivariate Extreme Value Copulas: Accepted - July 2024. REVSTAT-Statistical Journal. Retrieved from https://revstat.ine.pt/index.php/REVSTAT/article/view/676