Vine copula provides a flexible tool to capture asymmetry in modelling multivariate distributions. Nevertheless, its flexibility is achieved at the expense of exponentially increasing complexity of the model. To alleviate this issue, the simplifying assumption (SA) is commonly adapted in specific applications of vine copula models. In this paper, generalized linear models (GLMs) are proposed fo...

In this paper, we consider nonparametric copula inference under bivariate censoring. Based on an estimator of the joint cumulative distribution function, we define a discrete and two smooth estimators of the copula. The construction that we propose is valid for a large number of estimators of the distribution function, and therefore for a large number of bivariate censoring frameworks. Under so...

By a theorem due to Sklar, a multivariate distribution can be represented in terms of its underlying margins by binding them together using a copula function. By exploiting this representation, the “copula approach” to statistical modelling proceeds by specifying distributions for each margin and a copula function. In this paper, a number of families of copula functions are given, with attentio...

The multivariate survival distributions are used for description of dependent failure times (life spans) (Clayton and Cuzik 1985; Hougaard 1995, Yashin et al. 1995). The convenient representation of such distributions involves semi-parametric (copula) structure of multivariate survival function. Such structure is important in applications where the cause for dependence between life spans is the...

Tail dependence of financial entities describes when the price of one financial asset has an extreme fluctuation (e.g., price sharply rises or falls), the degree of its effect on the price fluctuation of another asset. Under the background of the global financial crisis, tail dependence structure of financial entities plays an important role in financial risk management, portfolio selection, an...

Many thanks to the journal for inviting my abbreviated Commentary on the past and future status of urban education. As the inaugural Constance E. Clayton Professor, I published the first three Clayton lectures by Professors James P. Comer, Edgar G. Epps, and Barbara Bowman in Vol. 1 (1) of this journal in spring 2002. Later, in spring 2005 I published lectures by Professor Linda Darling-Hammond...

Copulae is one of the main ways of modelling dependence. However, to check whether the dependency structure of a data set is appropriately modelled by a chosen family of copulae, there is no recommended method agreed upon. We introduce a new goodnessof-fit test, based on the probability integral transform. The test is consistent, meaning that no deviations from the null hypothesis are neglected...

In many biomedical studies that involve correlated data, an outcome is often repeatedly measured for each individual subject along with the number of these measurements, which is also treated as an observed outcome. This type of data has been referred as multivariate random length data by Barnhart and Sampson (1995). A common approach to handling such type of data is to jointly model the multip...

We investigate the dependent relationship between two failure time variables that truncate each other. Chaieb, Rivest, and Abdous (2006) proposed a semiparametric model under the so-called “semi-survival” Archimedean-copula assumption and discussed estimation of the association parameter, the truncation probability, and the marginal functions. Here the same model assumption is adopted but diffe...