U1.Clayton {Copula.surv}R Documentation

Estimation of an association parameter via the pseudo-likelihood

Description

Estimate the association parameter (alpha) of the Clayton copula using bivariate survival data. The estimator was derived by Clayton (1978) and reformulated by Emura, Lin and Wang (2010).

Usage

U1.Clayton(x.obs,y.obs,dx,dy,lower=0.001,upper=50,U.plot=TRUE)

Arguments

x.obs

censored times for X

y.obs

censored times for Y

dx

censoring indicators for X

dy

censoring indicators for Y

lower

lower bound for the association parameter

upper

upper bound for the association parameter

U.plot

if TRUE, draw the plot of U_1(alpha)

Details

Details are seen from the references.

Value

alpha

association parameter

tau

Kendall's tau (=alpha/(alpha+2))

Author(s)

Takeshi Emura

References

Clayton DG (1978). A model for association in bivariate life tables and its application to epidemiological studies of familial tendency in chronic disease incidence. Biometrika 65: 141-51.

Emura T, Lin CW, Wang W (2010) A goodness-of-fit test for Archimedean copula models in the presence of right censoring, Compt Stat Data Anal 54: 3033-43

Examples

n=100
Dat=simu.Clayton(n=n,scale1=1,scale2=2,shape1=0.5,shape2=2,alpha=1)
x.obs=Dat[,"X"]
y.obs=Dat[,"Y"]
dx=dy=rep(1,n) ## uncensored data
U1.Clayton(x.obs,y.obs,dx,dy)

[Package Copula.surv version 1.1 Index]