Dynamic dependence ordering for Archimedean copulas and distorted copulas

The paper on Dynamic dependence ordering for Archimedean copulas and distorted copulas should appear soon in Kybernetika.

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.


OpenEdition suggests that you cite this post as follows:
Arthur Charpentier (October 21, 2008). Dynamic dependence ordering for Archimedean copulas and distorted copulas. Freakonometrics. Retrieved October 8, 2024 from https://doi.org/10.58079/ou99


Leave a Reply

Your email address will not be published. Required fields are marked *

This site uses Akismet to reduce spam. Learn how your comment data is processed.