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??In survival analysis, most existing approaches for analysing
right-censored failure time data assume that the censoring time is independent of the
failure time. However, investigators often face problems involving dependent censoring,
i.e., failure time and censoring time are possibly dependent and they may be censored
one another, especially in clinical trials. Without accounting for such dependence,
survival distributions cannot be estimated consistently. Numerous attempts to model
this dependence have been made. Among them, copula models are of particular interest
because of their simple structure. Proportional hazard model analysis for informative
right-censored data has been discussed in this paper. An Archimedean copula is assumed
for the joint distribution function of failure time and censoring time variables. Under
the conditions of identifiability of the parameter of the Archimedean copula, the maximum
likelihood estimators of the parameter of Archimedean copula, the parameters and the
cumulative hazard function of PH model are worked out. Extensive simulation studies show
that the feasibility of the proposed method and the consistency of the estimators. 相似文献
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从Spearman的rho与Kendall的tau的关系入手,讨论了一类二元Copula参数模型的选择问题.由于这类二元Copula参数模型的Spearman的rho与Kendall的tau存在某种函数关系,模型选择问题转化为了曲线拟合检验问题.对于正态Copula、Frank-Copula,FGM-Copula、B11-Copula等这类Copula参数模型,说明了两种情况下进行模型选择的方法,并对中国股市的上证指数与深证综指作了实证分析,结果表明两者存在着较强的正相关性,相关性模型选取B11-Copula参数模型最合适. 相似文献
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本文首次从Spearman的rho出发,提出了一种检验Copula模型是否存在变结构特征的方法,并通过蒙特卡洛模拟验证了这种方法的有效性。在此基础上,利用分阶段建模技术和Spearman的rho对沪深股市的相依关系是否存在变结构进行了分析。结果证实,利用Spearman的rho能捕捉序列之间相依关系是否存在变结构的信息,具有一定的优越性。 相似文献
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基金的投资风格是投资者分析基金考虑的关键要素之一,传统的分析工具基本上局限于静态的、线性的分析方法.时变相关Copula模型作为一种新型的分析工具,不仅可以刻画基金和风格指数之间的相关结构,还能描述它们之间相关性的动态变化情况.首先对时变相关Copula模型的理论基础及建模步骤进行了详细阐述,然后随机选取几只市场综合排名靠前的基金,通过实证研究给出模型的参数估计结果,最后重点解释基金的投资风格划分依据. 相似文献
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Michael R. Kosorok Jason P. Fine Hongyu Jiang Rick Chappell 《Annals of the Institute of Statistical Mathematics》2002,54(3):476-499
In many clinical studies, there are two dependent event times with one of the events being terminal, such as death, and the other being nonfatal, such as myocardial infarction or cancer relapse. Morbidity can be dependently censored by mortality, but not vice versa. Asymptotic theory is developed for simultaneous estimation of the marginal distribution functions in this semi-competing risks setting. We specify the joint distribution of the event times in the upper wedge, where the nonfatal event happens before the terminal event, with the popular gamma frailty model. The estimators are based on an adaptation of the self-consistency principle. To study their properties, we employ a modification of the functional delta-method applied to Z-estimators. This approach to weak convergence leads naturally to asymptotic validity of both the nonparametric and multiplier bootstraps, facilitating inference in spite of the complexity of the limiting distribution. 相似文献
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通过Kaplan-Meier估计和Nelson-Aalen估计得到了平稳时间序列被另一平稳序列右删失下.AR模型的参数估计.首先,通过与完全数据下的参数估计进行对比,说明了两种估计方法的效果.然后,根据计算机模拟的样本量以及删失率的不同,对比了两种估计的优劣,并且模拟结果表明两种估计是有效的. 相似文献
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基于Copula的部件相依并联系统可靠性分析 总被引:1,自引:0,他引:1
应用Copula函数,研究了部件相依的并联系统可靠性问题,给出了F-G-M Copula函数下并联系统的可靠度、平均寿命、失效率的表达式,讨论了部件下象限相关下并联系统的平均寿命与部件独立时系统的平均寿命的关系,通过算例分析了部件个数与部件相依关系对系统平均寿命的影响。 相似文献
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考虑一类新的污染数据部分线性模型,当受污染后的因变量被随机右截断时,就截断分布已知的情形,利用所获得截断观测数据构造了模型中的参数分量,非参数分量及污染系数的估计量,并在适当的条件下,证明了这些估计量的强相合性. 相似文献