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Local dependence estimation using semiparametric archimedean copulas
Authors:Fran  ois Vandenhende,Philippe Lambert
Affiliation:François Vandenhende,Philippe Lambert
Abstract:The authors define a new semiparametric Archimedean copula family which has a flexible dependence structure. The generator of the family is a local interpolation of existing generators. It has locally‐defined dependence parameters. The authors present a penalized constrained least‐squares method to estimate and smooth these parameters. They illustrate the flexibility of their dependence model in a bi‐variate survival example.
Keywords:Archimedean copula  local dependence  quantile function  semiparametric smoothing
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