Premium
On the preservation of copula structure under truncation
Author(s) -
Oakes David
Publication year - 2005
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.1002/cjs.5540330310
Subject(s) - copula (linguistics) , truncation (statistics) , mathematics , statistical physics , computer science , mathematical economics , econometrics , computational biology , statistics , biology , physics
The author characterizes the copula associated with the bivariate survival model of Clayton (1978) as the only absolutely continuous copula that is preserved under bivariate truncation.
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom