On the nonidentifiability property of Archimedean copula models under dependent censoring. (English) Zbl 1237.62066
Summary: 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 non-identifiability property of the Archimedean copula models. The proposed procedure is demonstrated by two examples.
MSC:
| 62H05 | Characterization and structure theory for multivariate probability distributions; copulas |
| 62N01 | Censored data models |
| 62H20 | Measures of association (correlation, canonical correlation, etc.) |
| 62N99 | Survival analysis and censored data |
Software:
RBVEReferences:
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