Parametric estimation of conditional Archimedean copula generators for censored data

In this paper, we propose a novel approach for estimating Archimedean copula generators in a conditional setting, incorporating endogenous variables. Our method allows for the evaluation of the impact of the different levels of covariates on both the strength and shape of dependence by directly esti...

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Bibliographische Detailangaben

Hauptverfasser:	Michaelides, Marie, Cossette, Hélène, Pigeon, Mathieu
Format:	Artikel
Sprache:	eng
Schlagworte:	Statistics - Methodology
Online-Zugang:	Volltext bestellen
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