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Life Expectancy Estimate with Bivariate Weibull Distribution using Archimedean Copula
Eun-Joo Lee, Chang-Hyun Kim, Seung-Hwan Lee
Pages - 149 - 161     |    Revised - 01-07-2011     |    Published - 05-08-2011
Volume - 5   Issue - 3    |    Publication Date - July / August 2011  Table of Contents
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KEYWORDS
Archimedean Copula, Dependence, Weibull Distribution, Value at Risk
ABSTRACT
Archimedean copulas are used to construct bivariate Weibull distributions. Co-movement structures of variables are analyzed through the copulas, where the tail dependence between the variables is explored with more flexibility. Based on the distance between the copula distribution and its empirical version, a copula that may best fit data is selected. With extra computing costs, the adequacy of the copula chosen is then assessed. When multiple myeloma data are considered, it is found that relationship between survival time of a patient and the hemoglobin level is well described by the Clayton copula. The bivariate Weibull distribution constructed by the copula is used to estimate value at risk from which we investigate the anticipated longest life expectancy of a patient with the disease over the treatment period.
CITED BY (4)  
1 Zhang Zhen Ning, Cao Limei , & Ke Bingqing . ( 2014 ) . Bivariate Weibull statistics manifold structure and instability even geometry. Beijing University of Technology , 3, 013.
2 Verrill, S. P., Evans, J. W., Kretschmann, D. E., & Hatfield, C. A. (2014). Asymptotically Efficient Estimation of a Bivariate Gaussian–Weibull Distribution and an Introduction to the Associated Pseudo-truncated Weibull. Communications in Statistics-Theory and Methods, (just-accepted), 00-00.
3 Verrill, S. P., Evans, J. W., Kretschmann, D. E., & Hatfield, C. A. (2014). Reliability Implications in Wood Systems of a Bivariate Gaussian-Weibull Distribution and the Associated Univariate Pseudo-truncated Weibull. Series: Journal Articles.
4 Zhang Zhen Ning, Cao Limei, & Kebing Qing. (2014). Bivariate Weibull statistics manifold structure and instability even geometry. Beijing University of Technology, 3, 013.
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Mr. Eun-Joo Lee
- United States of America
Mr. Chang-Hyun Kim
- United States of America
Associate Professor Seung-Hwan Lee
Illinois Wesleyan University - United States of America
slee2@iwu.edu