American Institute of Mathematical Sciences

April  2007, 3(2): 305-312. doi: 10.3934/jimo.2007.3.305

Matching the grade correlation coefficient using a copula with maximum disorder

 1 Centre for Industrial and Applied Mathematics, Mawson Lakes Campus, University of South Australia, Mawson Lakes Boulevard, Mawson Lakes, 5095, Australia

Received  September 2006 Revised  January 2007 Published  April 2007

In this paper we use a doubly stochastic matrix to define a copula that preserves the given marginal distributions and matches a known grade correlation coefficient in such a way that the entropy of the doubly stochastic matrix is maximized. We will describe briefly how this work can be applied to the modelling of daily rainfall.
Citation: Julia Piantadosi, Phil Howlett, John Boland. Matching the grade correlation coefficient using a copula with maximum disorder. Journal of Industrial & Management Optimization, 2007, 3 (2) : 305-312. doi: 10.3934/jimo.2007.3.305
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