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Estimating the association parameter for copula models under dependent censoring

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Author Info
Weijing Wang
Abstract

Many biomedical studies involve the analysis of multiple events. The dependence between the times to these end points is often of scientific interest. We investigate a situation when one end point is subject to censoring by the other. The model assumptions of Day and co-workers and Fine and co-workers are extended to more general structures where the level of association may vary with time. Two types of estimating function are proposed. Asymptotic properties of the proposed estimators are derived. Their finite sample performance is studied via simulations. The inference procedures are applied to two real data sets for illustration. Copyright 2003 Royal Statistical Society.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9868.00385
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Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society: Series B (Statistical Methodology).

Volume (Year): 65 (2003)
Issue (Month): 1 ()
Pages: 257-273
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Handle: RePEc:bla:jorssb:v:65:y:2003:i:1:p:257-273

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  1. Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle, 2007. "Estimating the Error Distribution in the Multivariate Heteroscedastic Time Series Models," Monash Econometrics and Business Statistics Working Papers 8/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  2. Gunky Kim & Mervyn J. Silvapulle & Paramsothy Silvapulle, 2007. "Semiparametric estimation of the dependence parameter of the error terms in multivariate regression," Monash Econometrics and Business Statistics Working Papers 1/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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