A Literature Review and Application of Copula Models

• Main Authors: Rui-Wen Fan, 范瑞文
• Other Authors: Weijing Wang
• Format: Others
• Language: en_US
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/84216179844063526143

碩士 === 國立交通大學 === 統計所 === 91 === In the thesis, we discuss applications of copula models in medical research. Copula models are useful for describing multivariate survival data in which the dependence structure of major interest but marginal distributions are less important. We discuss two sub-families of copula models — namely mixture models and the alpha,beta-family. We also propose simulation algorithms to generate data following these models. Since mixture models have a hierarchical structure, we consider their applications in modeling genetic (familial) survival data. Parameters in the alpha,beta-family have a direct relationship with tail dependence parameters. We consider applications in describing the association between lifetimes of twins at very old age. Two estimation procedures are proposed to estimate tail dependence.