Reference : Local dependence estimation using semi-parametric Archimedean copulas
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
http://hdl.handle.net/2268/24473
Local dependence estimation using semi-parametric Archimedean copulas
English
Vandenhende, François [ > > ]
Lambert, Philippe mailto [Université de Liège - ULg > Institut des sciences humaines et sociales > Méthodes quantitatives en sciences sociales >]
2005
Canadian Journal of Statistics = Revue Canadienne de Statistique
33
377-388
Yes
International
0319-5724
[en] Archimedean copula ; local dependence ; semiparametric smoothing
[en] The authors de¯ne a new semiparametric Archimedean copula family having a °exible depen-
dence structure. The family's generator is a local interpolation of existing generators. It has locally-de¯ned
dependence parameters. The authors present a penalized constrained least-squares method to estimate and
smooth these parameters. They illustrate the °exibility of their dependence model in a bivariate survival
example.
http://hdl.handle.net/2268/24473
10.1002/cjs.5540330305
http://www3.interscience.wiley.com/journal/121578325/abstract

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