Estimation and model selection of semiparametric multivariate survival functions under general censorship

Xiaohong Chen (), Yanqin Fan, Demian Pouzo and Zhiliang Ying

Journal of Econometrics, 2010, vol. 157, issue 1, 129-142

Abstract: We study estimation and model selection of semiparametric models of multivariate survival functions for censored data, which are characterized by possibly misspecified parametric copulas and nonparametric marginal survivals. We obtain the consistency and root-n asymptotic normality of a two-step copula estimator to the pseudo-true copula parameter value according to KLIC, and provide a simple consistent estimator of its asymptotic variance, allowing for a first-step nonparametric estimation of the marginal survivals. We establish the asymptotic distribution of the penalized pseudo-likelihood ratio statistic for comparing multiple semiparametric multivariate survival functions subject to copula misspecification and general censorship. An empirical application is provided.

Keywords: Multivariate; survival; models; Misspecified; copulas; Penalized; pseudo-likelihood; ratio; Fixed; or; random; censoring; Kaplan-Meier; estimator (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (15)

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Working Paper: Estimation and Model Selection of Semiparametric Multivariate Survival Functions under General Censorship (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:157:y:2010:i:1:p:129-142

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