Local dependence estimation using semi-parametric Archimedean copulas

Vandenhende, François;Lambert, Philippe
(2005) The Canadian journal of statistics — Vol. 33, n° 3, p. 377-388 (2005)

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Abstract
The authors define a new semiparametric Archimedean copula family which has a flexible dependence structure. The generator of the family is a local interpolation of existing generators. It has locally-defined dependence parameters. The authors present a penalized constrained least‐squares method to estimate and smooth these parameters. They illustrate the flexibility of their dependence model in a bivariate survival example.
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Vandenhende, F., & Lambert, P. (2005). Local dependence estimation using semi-parametric Archimedean copulas. The Canadian journal of statistics, 33(3), 377-388. https://doi.org/10.1002/cjs.5540330305 (Original work published 2005)