Local dependence estimation using semiparametric archimedean copulas

DOI10.1002/CJS.5540330305MaRDI QIDQ5718588zbMATH OpenOpenAlexFDO

Authors François Vandenhende, Philippe Lambert

Publication date 16 January 2006

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

Full work available at URL https://doi.org/10.1002/cjs.5540330305

zbMATH Keywords

Archimedean copulalifetime study of Danish twinslocal dependencequantile functionsemiparametric smoothing

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Estimation in survival analysis and censored data (62N02) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cites work

• A numerically stable dual method for solving strictly convex quadratic programs
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An introduction to copulas. Properties and applications
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Covariance and survivor function estimation using censored multivariate failure time data
• Flexible smoothing with B-splines and penalties. With comments and a rejoinder by the authors
• scientific article; zbMATH DE number 45848 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
• On the multivariate probability integral transformation
• Ordinal Measures of Association
• Statistical Inference Procedures for Bivariate Archimedean Copulas

Cited in

(13)

• Improving the estimation of Kendall's tau when censoring affects only one of the variables
• Archimedean copula estimation using Bayesian splines smoothing techniques
• GeD spline estimation of multivariate Archimedean copulas
• Inference in multivariate Archimedean copula models
• Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas
• A Bayesian semiparametric Archimedean copula
• Dependence structure of conditional Archimedean copulas
• Empirical research on semiparametric Archimedean copulas
• Local estimation of dynamic copula models
• scientific article; zbMATH DE number 1276014 (Why is no real title available?)
• scientific article; zbMATH DE number 7712507 (Why is no real title available?)
• Spline approximations to conditional Archimedean copula
• Semiparametric bivariate Archimedean copulas

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