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arXiv · 2412.09151

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

Jorge Navarro·Franco Pellerey·Julio Mulero
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Abstract

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.

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Jorge Navarro, Franco Pellerey, Julio Mulero. 2024-12-12. On sums of dependent random lifetimes under the Time Transformed Exponential model. https://doi.org/10.1007/s11749-022-00805-2

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