Skip to main content
Article
Dependence measure for length-biased survival data using copulas
Dependence Modeling
  • Rachid Bentoumi, Zayed University
  • Mhamed Mesfioui, Université du Québec à Trois-Rivières
  • Mayer Alvo, University of Ottawa, Canada
Document Type
Article
Publication Date
1-1-2019
Abstract

© 2019 Rachid Bentoumi et al., published by De Gruyter 2019. The linear correlation coefficient of Bravais-Pearson is considered a powerful indicator when the dependency relationship is linear and the error variate is normally distributed. Unfortunately in finance and in survival analysis the dependency relationship may not be linear. In such case, the use of rank-based measures of dependence, like Kendall's tau or Spearman rho are recommended. In this direction, under length-biased sampling, measures of the degree of dependence between the survival time and the covariates appear to have not received much intention in the literature. Our goal in this paper, is to provide an alternative indicator of dependence measure, based on the concept of information gain, using the parametric copulas. In particular, the extension of the Kent's [18] dependence measure to length-biased survival data is proposed. The performance of the proposed method is demonstrated through simulations studies.

Publisher
De Gruyter Open Ltd
Keywords
  • copulas,
  • covariate distribution,
  • dependence measure,
  • information gain,
  • kernel density estimation,
  • length-biased distribution,
  • Length-biased sampling
Scopus ID

85075482605

Creative Commons License
Creative Commons Attribution 4.0 International
Indexed in Scopus
Yes
Open Access
Yes
Open Access Type
Gold: This publication is openly available in an open access journal/series
Citation Information
Rachid Bentoumi, Mhamed Mesfioui and Mayer Alvo. "Dependence measure for length-biased survival data using copulas" Dependence Modeling Vol. 7 Iss. 1 (2019) p. 348 - 364 ISSN: <p><a href="https://v2.sherpa.ac.uk/id/publication/issn/2300-2298" target="_blank">2300-2298</a></p>
Available at: http://works.bepress.com/rachid-bentoumi/1/