Frailty models and copulas: similarities and differences

Klara Goethals, Paul Janssen and Luc Duchateau

Journal of Applied Statistics, 2008, vol. 35, issue 9, 1071-1079

Abstract: Copulas and frailty models are important tools to model bivariate survival data. Equivalence between Archimedean copula models and shared frailty models, e.g. between the Clayton-Oakes copula model and the shared gamma frailty model, has often been claimed in the literature. In this note we show that, in both the models, there is indeed a well-known equivalence between the copula functions; the modeling of the marginal survival functions, however, is quite different. The latter fact leads to different joint survival functions.

Keywords: bivariate survival data; Clayton-Oakes copula; positive stable frailty; shared gamma frailty model (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (16)

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DOI: 10.1080/02664760802271389

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