Bivariate Cox model and copulas

Mohamed Achibi (1) , Michel Broniatowski (1)

1 LSTA - Laboratoire de Statistique Théorique et Appliquée

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 as well as approximation of Positive Quadrant Dependences through extreme value copulas which are stable under the action of the covariate.

Mots clés: Cox models; positive quadrant dependence; archimedean copula; extreme value copulas; asymmetric logistic copula; frailty models

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Mohamed Achibi, Michel Broniatowski. Bivariate Cox model and copulas. 2009. ⟨hal-00430262v1⟩