On the preservation of copula structure under truncation

DOI10.1002/cjs.5540330310zbMath1101.62040OpenAlexW2013896461MaRDI QIDQ5718594

David Oakes

Publication date: 16 January 2006

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.5540330310

zbMATH Keywords

Kendall's tauArchimedean copulasbivariate distributionClayton modelgamma frailty modelCook-Johnson model

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Survival analysis and censored data (62N99)

Related Items (20)

Invariant dependence structure under univariate truncation ⋮ Functional equations involving Sibuya's dependence function ⋮ Maximum likelihood estimation for bivariate SUR Tobit modeling in presence of two right-censored dependent variables ⋮ Lower tail dependence for Archimedean copulas: characterizations and pitfalls ⋮ Archimedean-based Marshall-Olkin distributions and related dependence structures ⋮ Modeling stochastic mortality for joint lives through subordinators ⋮ Invariant dependence structures and Archimedean copulas ⋮ Modified inference function for margins for the bivariate clayton copula-based SUN Tobit Model ⋮ Applying copula models to individual claim loss reserving methods ⋮ A note on checking the Clayton model assumption based on left-truncated bivariate data ⋮ Dependence structure of conditional Archimedean copulas ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ Bivariate Aging Properties under Archimedean Dependence Structures ⋮ A multivariate IFR notion based on the multivariate dispersive ordering ⋮ Unnamed Item ⋮ Improving the estimation of Kendall's tau when censoring affects only one of the variables ⋮ Copulas with Truncation-Invariance Property ⋮ Bivariate survival models with Clayton aging functions ⋮ Invariant dependence structure under univariate truncation: the high-dimensional case ⋮ Types of dependence and time-dependent association between two lifetimes in single parameter copula models

Cites Work

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• An introduction to copulas. Properties and applications
• A measure of association for bivariate frailty distribution
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Bivariate Survival Models Induced by Frailties
• Covariance and survivor function estimation using censored multivariate failure time data
• Uniform representations of bivariate distributions
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• SOME RESULTS ON TRUNCATION DEPENDENCE INVARIANT CLASS OF COPULAS
• Truncation invariant dependence structures

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