On the nonidentifiability property of Archimedean copula models under dependent censoring

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.

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Year of publication:	2012
Authors:	Wang, Antai
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 3, p. 621-625
Publisher:	Elsevier
Subject:	Archimedean copula models \| Dependent censoring \| Kendall’s τ \| The Clayton model \| The Hougaard model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039959