Ordering extremes of scale random variables under Archimedean copula

Ordering Extremes of Interdependent Random Variables

For random variables with Archimedean copula or survival copula, we develop the reversed hazard rate order and the hazard rate order on sample extremes in the context of proportional reversed hazard models and proportional hazard models, respectively. The likelihood ratio order on sample maximum is also investigated for the proportional reversed hazard model. Several numerical examples are pres...

Multidimensional Stochastic Ordering and Associated Random Variables

Properties of the marginal survival functions for dependent censored data under an assumed Archimedean copula

Given a dependent censored data (X, δ) = (min(T, C), I(T < C)) from an Archimedean copula model, we give general formulas for possible marginal survival functions of T and C. Based on our formulas, we can easily establish the relationship between all these survival functions and derive some useful identifiability results. Also based on our formulas, we propose a new estimator of the marginal su...

Goodness-of-fit Tests for Archimedean Copula Models

In this paper, we propose two tests for parametric models belonging to the Archimedean copula family, one for uncensored bivariate data and the other one for right-censored bivariate data. Our test procedures are based on the Fisher transform of the correlation coefficient of a bivariate (U, V ), which is a one-toone transform of the original random pair (T1, T2) that can be modeled by an Archi...

Heterogeneous Archimedean copula and t-copula with application in credit portfolio modeling

Besides their advantage in modelling tail-dependency, the main drawback of standard non-Gaussian copula is the homogeneity in the tail dependency parameter. Several approaches to solve this are meanwhile developed, hierachical copula, the grouped t-copula and the heterogeneous t-copula as recently described by Luo and Shevchenko [1]. We will show results from a concrete implementation of a fact...