Copulas generated by mixtures of weighted distributions

Mashael A. Alshehri; Mohamed Kayid; Mashael A. Alshehri; Mohamed Kayid

doi:10.3934/math.2022499

AIMS Mathematics

2022, Volume 7, Issue 5: 8953-8974. doi: 10.3934/math.2022499

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Research article

Copulas generated by mixtures of weighted distributions

Mashael A. Alshehri ¹,
Mohamed Kayid ^{2
,
,}

1.
Department of Quantitative Analysis, College of Business Administration, King Saud University, Riyadh 1362, Saudi Arabia
2.
Department of Statistics and Operations Research, College of Science, King Saud University, P.O. Box 2455, Riyadh 11451, Saudi Arabia

Received: 06 December 2021 Revised: 21 January 2022 Accepted: 09 February 2022 Published: 07 March 2022
MSC : 60E05, 60E15, 62N05

In this paper, we characterize several partial dependencies in a general mixture model of weighted distributions with a parametric weight function that encompasses many well-known frailty models. There are well-known frailty models in survival analysis satisfying the proposed mixture model which are used to examine the results. The mixture-based copula functions associated with the mixture model are characterized. Examples are given to draw the copula functions out from respected mixture models.
- weighted distribution,
- mixture model,
- copula function,
- dependence structure,
- semiparametric distributions,
- stochastic order
Citation: Mashael A. Alshehri, Mohamed Kayid. Copulas generated by mixtures of weighted distributions[J]. AIMS Mathematics, 2022, 7(5): 8953-8974. doi: 10.3934/math.2022499

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Abstract

In this paper, we characterize several partial dependencies in a general mixture model of weighted distributions with a parametric weight function that encompasses many well-known frailty models. There are well-known frailty models in survival analysis satisfying the proposed mixture model which are used to examine the results. The mixture-based copula functions associated with the mixture model are characterized. Examples are given to draw the copula functions out from respected mixture models.

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