Local dependence estimation using semiparametric Archimedean copulas

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.