Local dependence estimation using semiparametric Archimedean copulas

被引：9
|
作者：
Vandenhende, F [1 ]
Lambert, P
机构：
[1] Eli Lilly & Co, Global Stat, BE-1348 Mont St Guibert, Belgium
[2] Catholic Univ Louvain, Inst Stat, BE-1348 Louvain, Belgium
来源：
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE | 2005年 / 33卷 / 03期
关键词：
Archimedean copula; local dependence; quantile function; semiparametric smoothing;
D O I：
10.1002/cjs.5540330305
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：377 / 388
页数：12
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