On the nonidentifiability property of Archimedean copula models under dependent censoring
In this paper, we prove a peculiar property shared by the Archimedean copula models, that is, different Archimedean copula models with distinct dependent levels can have the same crude survival functions for dependent censored data. This property directly shows the nonidentifiability property of the Archimedean copula models. The proposed procedure is then demonstrated by two examples.
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Volume (Year): 82 (2012)
Issue (Month): 3 ()
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- Rivest, Louis-Paul & Wells, Martin T., 2001. "A Martingale Approach to the Copula-Graphic Estimator for the Survival Function under Dependent Censoring," Journal of Multivariate Analysis, Elsevier, vol. 79(1), pages 138-155, October.
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