Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models

DOI10.1016/J.CSDA.2011.02.008zbMATH Open1328.62211OpenAlexW2005237360MaRDI QIDQ901648FDOQ901648

Authors: Yildiz E. Yilmaz, Jerald F. Lawless 

Publication date: 12 January 2016

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2011.02.008

Recommendations

• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Efficient estimation of semiparametric copula models for bivariate survival data
• Comparison of semiparametric and parametric methods for estimating copulas
• Efficient Estimation of Semiparametric Multivariate Copula Models

zbMATH Keywords

model misspecificationpseudolikelihoodFrank copulaGumbelclayton copulahougaard copulasemiparametric maximum likelihood

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Censored data models (62N01) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Title not available (Why is that?)
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• Efficient estimation in the bivariate normal copula model: Normal margins are least favourable
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Title not available (Why is that?)
• Title not available (Why is that?)
• An introduction to copulas.
• Comparison of semiparametric and parametric methods for estimating copulas
• Multivariate survival distributions
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Between- and Within-Cluster Covariate Effects in the Analysis of Clustered Data
• Bivariate Location–Scale Models for Regression Analysis, with Applications to Lifetime Data
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
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• Modelling Paired Survival Data with Covariates
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• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Understanding Relationships Using Copulas
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Semiparametric likelihood ratio inference
• Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models
• Efficient Estimation of Semiparametric Multivariate Copula Models
• Parametric analysis for matched pair survival data
• SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS
• Semiparametric maximum likelihood estimation in normal transformation models for bivariate survival data
• Multivariate survival analysis for case-control family data
• Flexible Maximum Likelihood Methods for Bivariate Proportional Hazards Models
• Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data
• Regression in a bivariate copula model
• Improving the estimation of Kendall's tau when censoring affects only one of the variables
• Title not available (Why is that?)

Cited In (15)

• Estimation and model selection of semiparametric multivariate survival functions under general censorship
• Multiple event times in the presence of informative censoring: modeling and analysis by copulas
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data
• Robust estimators and tests for bivariate copulas based on likelihood depth
• Semiparametric maximum likelihood estimation in normal transformation models for bivariate survival data
• Evaluating Association Between Two Event Times with Observations Subject to Informative Censoring
• Estimation of covariate effects in proportional cross-ratio model of bivariate time-to-event outcomes
• A copula model for marked point processes
• Model robust inference with two-stage maximum likelihood estimation for copulas
• Two-stage estimation in copula models used in family studies
• Comparison of semiparametric and parametric methods for estimating copulas
• Parametric and semiparametric copula-based models for the regression analysis of competing risks
• Title not available (Why is that?)
• Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study

Uses Software

• QRM
• bootstrap
• bootlib

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