Dynamic dependence ordering for Archimedean copulas and distorted copulas

Arthur Charpentier

Kybernetika (2008)

  • Volume: 44, Issue: 6, page 777-794
  • ISSN: 0023-5954

Abstract

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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.

How to cite

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Charpentier, Arthur. "Dynamic dependence ordering for Archimedean copulas and distorted copulas." Kybernetika 44.6 (2008): 777-794. <http://eudml.org/doc/33964>.

@article{Charpentier2008,
abstract = {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.},
author = {Charpentier, Arthur},
journal = {Kybernetika},
keywords = {Archimedean copulas; Cox model; dependence; distorted copulas; ordering; Archimedean copulas; cox model; dependence; distorted copulas; ordering},
language = {eng},
number = {6},
pages = {777-794},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Dynamic dependence ordering for Archimedean copulas and distorted copulas},
url = {http://eudml.org/doc/33964},
volume = {44},
year = {2008},
}

TY - JOUR
AU - Charpentier, Arthur
TI - Dynamic dependence ordering for Archimedean copulas and distorted copulas
JO - Kybernetika
PY - 2008
PB - Institute of Information Theory and Automation AS CR
VL - 44
IS - 6
SP - 777
EP - 794
AB - 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.
LA - eng
KW - Archimedean copulas; Cox model; dependence; distorted copulas; ordering; Archimedean copulas; cox model; dependence; distorted copulas; ordering
UR - http://eudml.org/doc/33964
ER -

References

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