A Likelihood Based Estimating Equation for the Clayton–Oakes Model with Marginal Proportional Hazards

Christian Bressen Pipper and Torben Martinussen

Scandinavian Journal of Statistics, 2003, vol. 30, issue 3, 509-521

Abstract: Multivariate failure time data arise when data consist of clusters in which the failure times may be dependent. A popular approach to such data is the marginal proportional hazards model with estimation under the working independence assumption. In this paper, we consider the Clayton–Oakes model with marginal proportional hazards and use the full model structure to improve on efficiency compared with the independence analysis. We derive a likelihood based estimating equation for the regression parameters as well as for the correlation parameter of the model. We give the large sample properties of the estimators arising from this estimating equation. Finally, we investigate the small sample properties of the estimators through Monte Carlo simulations.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:30:y:2003:i:3:p:509-521

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