Reference : Local dependence estimation using semi-parametric Archimedean copulas

	Document type :	Scientific journals : Article
	Discipline(s) :	Physical, chemical, mathematical & earth Sciences : Mathematics
	To cite this reference:	http://hdl.handle.net/2268/24473

Title :	Local dependence estimation using semi-parametric Archimedean copulas
Language :	English
Author, co-author :	Vandenhende, François [ > > ]
	Lambert, Philippe [Université de Liège - ULg > Institut des sciences humaines et sociales > Méthodes quantitatives en sciences sociales >]
Publication date :	2005
Journal title :	Canadian Journal of Statistics = Revue Canadienne de Statistique
Volume :	33
Pages :	377-388
Audience :	International
ISSN :	0319-5724
Keywords :	[en] Archimedean copula ; local dependence ; semiparametric smoothing
Abstract :	[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.
Permalink :	http://hdl.handle.net/2268/24473
DOI :	10.1002/cjs.5540330305
Other URL :	http://www3.interscience.wiley.com/journal/121578325/abstract

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