On the nonidentifiability property of Archimedean copula models under dependent censoring

Antai Wang

doi:10.1016/j.spl.2011.11.005

On the nonidentifiability property of Archimedean copula models under dependent censoring

Antai Wang

Research output: Contribution to journal › Article › peer-review

9 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	621-625
Number of pages	5
Journal	Statistics and Probability Letters
Volume	82
Issue number	3
DOIs	https://doi.org/10.1016/j.spl.2011.11.005
State	Published - Mar 2012
Externally published	Yes

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

Keywords

Archimedean copula models
Dependent censoring
Kendall's τ
The Clayton model
The Hougaard model

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10.1016/j.spl.2011.11.005

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title = "On the nonidentifiability property of Archimedean copula models under dependent censoring",

abstract = "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.",

keywords = "Archimedean copula models, Dependent censoring, Kendall's τ, The Clayton model, The Hougaard model",

author = "Antai Wang",

note = "Funding Information: The author would like to thank anonymous reviewers for their encouragement and valuable comments that led to great improvement of this paper. The research was supported by an NSF (National Science Foundation) grant DMS1106608 .",

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N2 - 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.

AB - 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.

KW - Archimedean copula models

KW - Dependent censoring

KW - Kendall's τ

KW - The Clayton model

KW - The Hougaard model

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JO - Statistics and Probability Letters

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IS - 3

ER -

On the nonidentifiability property of Archimedean copula models under dependent censoring

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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