Statistical Inference Procedures for Bivariate Archimedean Copulas
作者： Christian Genest , Louis-Paul Rivest , None
DOI: 10.1080/01621459.1993.10476372
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摘要: A bivariate distribution function H (x, y) with marginals F (x) and G (y) is said to be generated by an Archimedean copula if it can be expressed in the form H (x, y)= ϕ–1 [ϕ {F (x)}+ ϕ {G (y)}] for some convex, decreasing function ϕ defined on [0, 1] in such a way that ϕ (1)= 0. Many well-known systems of bivariate distributions belong to this class, including those of Gumbel, Ali-Mikhail-Haq-Thélot, Clayton, Frank, and Hougaard. Frailty models also fall under that general prescription. This article examines the problem of selecting an …
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