| Title:
|
Dynamic dependence ordering for Archimedean copulas and distorted copulas (English) |
| Author:
|
Charpentier, Arthur |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
44 |
| Issue:
|
6 |
| Year:
|
2008 |
| Pages:
|
777-794 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i.\,e. given remaining lifetimes $\boldsymbol{X}$, to compare the dependence of $\boldsymbol{X}$ given $\boldsymbol{X}>t$, and $\boldsymbol{X}$ given $\boldsymbol{X}>s$, where $s>t$. More precisely, analytical results will be obtained in the case the survival copula of $\boldsymbol{X}$ is either Archimedean or a distorted copula. The case of a frailty based model will also be discussed in details. (English) |
| Keyword:
|
Archimedean copulas |
| Keyword:
|
Cox model |
| Keyword:
|
dependence |
| Keyword:
|
distorted copulas |
| Keyword:
|
ordering |
| MSC:
|
60A05 |
| MSC:
|
60E15 |
| MSC:
|
62H05 |
| MSC:
|
62N01 |
| MSC:
|
62N99 |
| MSC:
|
91B30 |
| idZBL:
|
Zbl 1196.62054 |
| idMR:
|
MR2488904 |
| . |
| Date available:
|
2009-09-24T20:40:09Z |
| Last updated:
|
2013-09-21 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135890 |
| . |
| Reference:
|
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