Copula model generated by Dabrowska's association measure

David Oakes

Biometrika, 2003, vol. 90, issue 2, 478-481

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.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:oup:biomet:v:90:y:2003:i:2:p:478-481

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