On the nonidentifiability property of Archimedean copula models under dependent censoring

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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 languageEnglish (US)
Pages (from-to)621-625
Number of pages5
JournalStatistics and Probability Letters
Volume82
Issue number3
DOIs
StatePublished - Mar 2012
Externally publishedYes

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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