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Copula model generated by Dabrowska's association measure

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Author Info
David Oakes
Abstract

We propose a new archimedean copula model for bivariate survival data that is motivated by Dabrowska's (1988) measure of association. The model can represent negatively correlated or moderately positively correlated data but not highly positively correlated data. Local and global measures of association are calculated. A generalisation is presented. Copyright Biometrika Trust 2003, Oxford University Press.

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Publisher Info
Article provided by Oxford University Press for Biometrika Trust in its journal Biometrika.

Volume (Year): 90 (2003)
Issue (Month): 2 (June)
Pages: 478-481
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Handle: RePEc:oup:biomet:v:90:y:2003:i:2:p:478-481

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  1. Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle, 2007. "Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models," Monash Econometrics and Business Statistics Working Papers 8/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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This page was last updated on 2009-11-28.


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