Copula entropy method for measuring correlation in finance risk.

In response to the existence of the denial of the normal test and skewness as well as kurtosis, the research on correlation based on the assumption of multi-dimensional normal distribution and linear-dependent coefficient may not be accurate and proper. Therefore, the Copula entropy function is founded by combining Copula theory with the entropy of information. Compared with the mutual information in information theory and the correlation coefficient, the Copula entropy function has the advantages that it is not confined to dimensions and has dimension and the ability of taking non-linear correlation relation. Then, the experimental data is validated by combining with the economic circle theory, which shows feasibility and validity. [ABSTRACT FROM AUTHOR]