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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.