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.



Cite this blog post
Arthur Charpentier (2008, October 21). Dynamic dependence ordering for Archimedean copulas and distorted copulas. Freakonometrics. Retrieved May 28, 2024, from https://doi.org/10.58079/ou99

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