On sums of dependent random lifetimes under the Time Transformed Exponential model

Autor: Navarro, Jorge, Pellerey, Franco, Mulero, Julio
Rok vydání: 2024
Předmět:
Zdroj: TEST Volume 31 (2022) Pages 879-900
Druh dokumentu: Working Paper
DOI: 10.1007/s11749-022-00805-2
Popis: Considered a pair of random lifetimes whose dependence is described by a Time Transformed Exponential model, we provide analytical expressions for the distribution of their sum. These expressions are obtained by using a representation of the joint distribution in terms of multivariate distortions, which is an alternative approach to the classical copula representation. Since this approach allows to obtain conditional distributions and their inverses in simple form, then it is also shown how it can be used to predict the value of the sum from the value of one of the variables (or vice versa) by using quantile regression techniques.
Databáze: arXiv