On the use of the copulas in characterizing the dependence on entropy

Kovács, Edith (2007) On the use of the copulas in characterizing the dependence on entropy. Pollack Periodica, 2 (Supple). pp. 185-196. ISSN 1788-1994

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Abstract

In this paper, a method for characterizing the dependence between two random variables is presented with the help of information theory. There are several well-known methods that describe the stochastic dependence. Some of these methods are based on the copula approach. The copula function is capable to exhibit the type of the dependence between two or more random variables.A method is proposed to characterize the dependence that uses certain entropy coefficients, which are calculated with the copula function associated to the joint distribution function.

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