Dynamic dependence ordering for Archimedean copulas and distorted copulas

Title:

Dynamic dependence ordering for Archimedean copulas and distorted copulas

Creator:

Charpentier, Arthur

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:b8e6eeb5-198c-4c24-b261-ba67229a2b00
uuid:b8e6eeb5-198c-4c24-b261-ba67229a2b00

Subject:

Archimedean copulas, Cox model, dependence, distorted copulas, and ordering

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i.e. given remaining lifetimes X, to compare the dependence of X given X>t, and X given X>s, where s>t. More precisely, analytical results will be obtained in the case the survival copula of X is either Archimedean or a distorted copula. The case of a frailty based model will also be discussed in details.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[777]-794

Source:

Kybernetika | 2008 Volume:44 | Number:6

Harvested from:

CDK

Metadata only:

false