Bivariate Cox models and copulas

Mohamed Achibi, Michel Broniatowski, Catherine Duveau and Alice Marboeuf

Journal of Risk and Reliability, 2012, vol. 226, issue 5, 476-487

Abstract: This paper introduces a new class of Cox models for dependent bivariate data. The impact of the covariate on the dependence of the variables is captured through the modification of their copula. Various classes of well-known copulas are stable under the model (Archimedean type and extreme value copulas), meaning that the role of the covariate acts in a simple and explicit way on the copula in the class; specific parametric classes are considered.

Keywords: Cox models; positive quadrant dependence; Archimedean copula; extreme value copulas; asymmetric logistic copula; frailty models (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:sae:risrel:v:226:y:2012:i:5:p:476-487

DOI: 10.1177/1748006X12455779

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