Geodesic
Dynamic dependence ordering for Archimedean copulas and distorted copulas
Kybernetika, Tome 44 (2008) no. 6, pp. 777-794

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i.\,e. given remaining lifetimes $\boldsymbol{X}$, to compare the dependence of $\boldsymbol{X}$ given $\boldsymbol{X}>t$, and $\boldsymbol{X}$ given $\boldsymbol{X}>s$, where $s>t$. More precisely, analytical results will be obtained in the case the survival copula of $\boldsymbol{X}$ is either Archimedean or a distorted copula. The case of a frailty based model will also be discussed in details.
Classification : 60A05, 60E15, 62H05, 62N01, 62N99, 91B30
Keywords: Archimedean copulas; Cox model; dependence; distorted copulas; ordering 
@article{KYB_2008__44_6_a3,
     author = {Charpentier, Arthur},
     title = {Dynamic dependence ordering for {Archimedean} copulas and distorted copulas},
     journal = {Kybernetika},
     pages = {777--794},
     publisher = {mathdoc},
     volume = {44},
     number = {6},
     year = {2008},
     mrnumber = {2488904},
     zbl = {1196.62054},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2008__44_6_a3/}
}
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Charpentier, Arthur. Dynamic dependence ordering for Archimedean copulas and distorted copulas. Kybernetika, Tome 44 (2008) no. 6, pp. 777-794. http://geodesic.mathdoc.fr/item/KYB_2008__44_6_a3/