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On the preservation of copula structure under truncation |
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| Authors: | David Oakes |
| Abstract: | The author characterizes the copula associated with the bivariate survival model of Clayton (1978) as the only absolutely continuous copula that is preserved under bivariate truncation. |
| Keywords: | Archimedean copula bivariate distribution Clayton model Cook‐Johnson model gamma frailty model Kendall's tau |