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Article Dans Une Revue Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability Année : 2016

Bivariate Cox model and copulas

Résumé

This paper introduces a new class of Cox models for dependent bivariate data. The impact of the covariate on the dependence of the variables is captured through the modification of their copula. Various classes of well known copulas are stable under the model (archimedean type and extreme value copulas), meaning that the role of the covariate acts in a simple and explicit way on the copula in the class; specific parametric classes are considered.
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Dates et versions

hal-00430262 , version 1 (06-11-2009)
hal-00430262 , version 2 (15-12-2009)
hal-00430262 , version 3 (14-01-2010)
hal-00430262 , version 4 (25-01-2010)
hal-00430262 , version 5 (29-06-2010)

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Citer

Mohamed Achibi, Michel Broniatowski. Bivariate Cox model and copulas. Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability, 2016, 226: 476-487. pp.476-487. ⟨hal-00430262v5⟩
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