Parametric likelihood inference and goodness-of-fit for dependently left-truncated data, a copula-based approach

Takeshi Emura () and Chi-Hung Pan ()
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Takeshi Emura: National Central University
Chi-Hung Pan: National Central University

Statistical Papers, 2020, vol. 61, issue 1, No 24, 479-501

Abstract: Abstract Traditionally, the literature on statistical inference with left-truncated samples assumes the independence of truncation variable on lifetime. Alternatively, this paper considers an approach of using a copula for dependent truncation. When considering maximum likelihood estimation and goodness-of-fit procedures, key challenges are the absence of the explicit form of the inclusion probability and truncated distribution functions. This paper shows that, under the copula model, the inclusion probability and truncated distribution functions are expressed as univariate integrals of some functions. With aid of these expressions, we propose computational algorithms to maximize the log-likelihood and to perform goodness-of-fit tests. Simulations are conducted to examine the performance of the proposed method. Real data from a field reliability study on the brake pad lifetimes are analyzed for illustration. Relevant computational programs are made available in the R package “depend.truncation”.

Keywords: Bivariate life distribution; Goodness-of-fit test; Newton–Raphson algorithm; Reliability; Survival analysis; Left-truncation; Weibull distribution (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s00362-017-0947-z

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