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Entropy measure for the quantification of upper quantile interdependence in multivariate distributions.

Jhan RodríguezAndrás Bárdossy
Published in: J. Multivar. Anal. (2015)
Keyphrases
  • entropy measure
  • information theoretic
  • multivariate normal
  • finite mixtures
  • dependence structure
  • probability distribution function
  • probability distribution
  • weight matrix
  • random variables
  • mutual information