Bivariate Cox models and copulas
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DOI: 10.1177/1748006X12455779
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References listed on IDEAS
- Genest, Christian & Rivest, Louis-Paul, 1989. "A characterization of gumbel's family of extreme value distributions," Statistics & Probability Letters, Elsevier, vol. 8(3), pages 207-211, August.
- Christian Genest & Kilani Ghoudi & Louis-Paul Rivest, 1998. "“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(3), pages 143-149.
- Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
- Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
- Olivier Scaillet, 2005. "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering.
- Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
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Keywords
Cox models; positive quadrant dependence; Archimedean copula; extreme value copulas; asymmetric logistic copula; frailty models;All these keywords.
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