English

Frank copula is minimum information copula under fixed Kendall's $\tau$

Methodology 2024-06-24 v1

Abstract

In dependence modeling, various copulas have been utilized. Among them, the Frank copula has been one of the most typical choices due to its simplicity. In this work, we demonstrate that the Frank copula is the minimum information copula under fixed Kendall's τ\tau (MICK), both theoretically and numerically. First, we explain that both MICK and the Frank density follow the hyperbolic Liouville equation. Moreover, we show that the copula density satisfying the Liouville equation is uniquely the Frank copula. Our result asserts that selecting the Frank copula as an appropriate copula model is equivalent to using Kendall's τ\tau as the sole available information about the true distribution, based on the entropy maximization principle.

Cite

@article{arxiv.2406.14814,
  title  = {Frank copula is minimum information copula under fixed Kendall's $\tau$},
  author = {Issey Sukeda and Tomonari Sei},
  journal= {arXiv preprint arXiv:2406.14814},
  year   = {2024}
}

Comments

10 pages, 3 figures

R2 v1 2026-06-28T17:14:13.572Z