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Local dependence estimation using semi-parametric Archimedean copulas

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Vandenhende, François Lambert, Philippe [UCL]

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 example.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès libre
Publication date 2005
Language Anglais
Journal information "The Canadian journal of statistics" - Vol. 33, no.3, p. 377-388 (2005)
Peer reviewed yes
Publisher Wiley
issn 1708-945X
Publication status Publié
Affiliation UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Links
Bibliographic reference Vandenhende, François ; Lambert, Philippe. Local dependence estimation using semi-parametric Archimedean copulas. In: The Canadian journal of statistics, Vol. 33, no.3, p. 377-388 (2005)
Permanent URL http://hdl.handle.net/2078.1/219600