Local dependence estimation using semiparametric archimedean copulas
Copyright policy )Local dependence estimation using semiparametric archimedean copulas
Summary: The authors define a new semiparametric Archimedean copula family which has a flexible dependence structure. The generator of the family is a local interpolation of existing generators. It has locally-defined dependence parameters. The authors present a penalized constrained least-squares method to estimate and smooth these parameters. They illustrate the flexibility of their dependence model in a bivariate survival model.
- Université Catholique de Louvain Belgium
- University of Liège Belgium
- Eli Lilly (United States) United States
Archimedean copula, quantile function, Measures of association (correlation, canonical correlation, etc.), Physique, chimie, mathématiques & sciences de la terre, Estimation in survival analysis and censored data, semiparametric smoothing, Applications of statistics to biology and medical sciences; meta analysis, Mathématiques, local dependence, Physical, chemical, mathematical & earth Sciences, lifetime study of Danish twins, Nonparametric estimation, Characterization and structure theory for multivariate probability distributions; copulas, Mathematics
Archimedean copula, quantile function, Measures of association (correlation, canonical correlation, etc.), Physique, chimie, mathématiques & sciences de la terre, Estimation in survival analysis and censored data, semiparametric smoothing, Applications of statistics to biology and medical sciences; meta analysis, Mathématiques, local dependence, Physical, chemical, mathematical & earth Sciences, lifetime study of Danish twins, Nonparametric estimation, Characterization and structure theory for multivariate probability distributions; copulas, Mathematics
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