Skip to Main content Skip to Navigation
Journal articles

Bivariate Cox model and copulas

Abstract : 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.
Complete list of metadatas

Cited literature [21 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00430262
Contributor : Michel Broniatowski <>
Submitted on : Tuesday, June 29, 2010 - 4:42:58 PM
Last modification on : Thursday, March 21, 2019 - 1:02:27 PM
Document(s) archivé(s) le : Thursday, September 30, 2010 - 6:19:23 PM

Files

Cox_180610.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00430262, version 5
  • ARXIV : 0911.1443

Citation

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

Share

Metrics

Record views

265

Files downloads

388