Article (Scientific journals)
Local dependence estimation using semi-parametric Archimedean copulas
Vandenhende, François; Lambert, Philippe
2005In Canadian Journal of Statistics, 33, p. 377-388
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Keywords :
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.
Disciplines :
Mathematics
Author, co-author :
Vandenhende, François
Lambert, Philippe  ;  Université de Liège - ULiège > Institut des sciences humaines et sociales > Méthodes quantitatives en sciences sociales
Language :
English
Title :
Local dependence estimation using semi-parametric Archimedean copulas
Publication date :
2005
Journal title :
Canadian Journal of Statistics
ISSN :
0319-5724
Publisher :
Wiley-Blackwell, United States
Volume :
33
Pages :
377-388
Peer reviewed :
Peer Reviewed verified by ORBi
Available on ORBi :
since 29 September 2009

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