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Local dependence estimation using semiparametric Archimedean copulas

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Vandenhende, F Lambert, Philippe [UCL]

The authors define a new semiparametric Archimedean copula family which has a flexible dependence structure. The generator of the family is a local interpolation of existing generators. It has locally-defined dependence parameters. The authors present a penalized constrained least-squares method to estimate and smooth these parameters. They illustrate the flexibility of their dependence model in a bivariate survival example.

Document type Communication à un colloque (Conference Paper) – Présentation orale avec comité de sélection
Access type Accès restreint
Publication date 2005
Language Anglais
Conference "International Conference on Dependence Modelling - Statistical Theory and Applications in Finance and Insurance (DeMoSTAFI)", Quebec City(Canada) (May 20-22, 2004)
Journal information "Canadian Journal of Statistics" - Vol. 33, no. 3, p. 377-388 (2005)
Peer reviewed yes
issn 0319-5724
e-issn 1708-945X
Publisher Canadian Journal Statistics (Ottawa)
Affiliation UCL - Autre
Keywords Archimedean Copula ; Local Dependence ; Quantile Function ; Semiparametric Smoothing
Links
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Bibliographic reference Vandenhende, F ; Lambert, Philippe. Local dependence estimation using semiparametric Archimedean copulas.International Conference on Dependence Modelling - Statistical Theory and Applications in Finance and Insurance (DeMoSTAFI) (Quebec City(Canada), May 20-22, 2004). In: Canadian Journal of Statistics, Vol. 33, no. 3, p. 377-388 (2005)
Permanent URL http://hdl.handle.net/2078.1/60856