On the nonidentifiability property of Archimedean copula models under dependent censoring

Antai Wang

Statistics & Probability Letters, 2012, vol. 82, issue 3, 621-625

Abstract: In this paper, we prove a peculiar property shared by the Archimedean copula models, that is, different Archimedean copula models with distinct dependent levels can have the same crude survival functions for dependent censored data. This property directly shows the nonidentifiability property of the Archimedean copula models. The proposed procedure is then demonstrated by two examples.

Keywords: Archimedean copula models; Dependent censoring; Kendall’s τ; The Clayton model; The Hougaard model (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2011.11.005

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