A Convergent Iterative Procedure for Constructing Bivariate Distributions

For many years there has been interest in families of bivariate distributions with the
marginals as parameters. Questions of this kind arise if one is to build a stochastic
model in a situation where one has some idea about the dependence structure
and marginal distributions. In this article, among all bivariate distributions which
satisfy the constraints imposed by the known marginals and/or dependence structure,
one that has the maximum entropy is obtained by using iterative procedure, and its
convergence is proved.