On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model

Christian Genest, Jean-François Quessy and Bruno Remillard ()

Statistics & Probability Letters, 2006, vol. 76, issue 1, 10-18

Abstract: Rank-based estimators were proposed by Clayton [Clayton D.G., 1978. A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika 65, 141-151.] and Oakes [Oakes, D., 1982. A model for association in bivariate survival data. J. Roy. Statist. Soc. Ser. B 44, 414-422.] for the association parameter in the bivariate gamma frailty model. The joint asymptotic behavior of these estimators is considered here, following a different approach from that used by Oakes [Oakes, D., 1982. A model for association in bivariate survival data. J. Roy. Statist. Soc. Ser. B 44, 414-422; Oakes, D., 1986. Semiparametric inference in a model for association in bivariate survival data. Biometrika 73, 353-361]. This leads to a correction of the formula given by Shih [Shih, J.H. 1998. A goodness-of-fit test for association in a bivariate survival model. Biometrika 85, 189-200.] for the limiting covariance between the two estimators.

Keywords: Clayton; model; Concordance; Copula; Gamma; frailty (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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