Generalized copula-graphic estimator

Jacobo Uña-Álvarez () and Noël Veraverbeke

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2013, vol. 22, issue 2, 343-360

Abstract: In this paper, a copula-graphic estimator is proposed for censored survival data. It is assumed that there is some dependent censoring acting on the variable of interest that may come from an existing competing risk. Furthermore, the full process is independently censored by some administrative censoring time. The dependent censoring is modeled through an Archimedean copula function, which is supposed to be known. An asymptotic representation of the estimator as a sum of independent and identically distributed random variables is obtained, and, consequently, a central limit theorem is established. We investigate the finite sample performance of the estimator through simulations. A real data illustration is included. Copyright Sociedad de Estadística e Investigación Operativa 2013

Keywords: Almost sure representation; Archimedean copula; Censored data; Informative censoring; Survival analysis; 62G05; 62G20; 62N02 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s11749-012-0314-2

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