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Copula model generated by Dabrowska's association measure

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  • David Oakes

Abstract

We propose a new archimedean copula model for bivariate survival data that is motivated by Dabrowska's (1988) measure of association. The model can represent negatively correlated or moderately positively correlated data but not highly positively correlated data. Local and global measures of association are calculated. A generalisation is presented. Copyright Biometrika Trust 2003, Oxford University Press.

Suggested Citation

  • David Oakes, 2003. "Copula model generated by Dabrowska's association measure," Biometrika, Biometrika Trust, vol. 90(2), pages 478-481, June.
    • Handle: RePEc:oup:biomet:v:90:y:2003:i:2:p:478-481
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    Cited by:

    1. Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle, 2007. "Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models," Monash Econometrics and Business Statistics Working Papers 8/07, Monash University, Department of Econometrics and Business Statistics.
    2. Genest, Christian & Quessy, Jean-François & Rémillard, Bruno, 2006. "Local efficiency of a Cramer-von Mises test of independence," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 274-294, January.

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