메뉴 건너뛰기




Volumn 23, Issue 3, 2007, Pages 414-439

A model selection test for bivariate failure-time data

Author keywords

[No Author keywords available]

Indexed keywords


EID: 34247520214     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466607070181     Document Type: Article
Times cited : (9)

References (44)
  • 2
    • 27744551283 scopus 로고    scopus 로고
    • Pseudo-likelihood ratio tests for model selection in semiparametric multivariate copula models
    • Chen, X. & Y. Fan (2005) Pseudo-likelihood ratio tests for model selection in semiparametric multivariate copula models. Canadian Journal of Statistics 33, 389-414.
    • (2005) Canadian Journal of Statistics , vol.33 , pp. 389-414
    • Chen, X.1    Fan, Y.2
  • 3
    • 33748595542 scopus 로고    scopus 로고
    • Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
    • Chen, X. & Y. Fan (2006a) Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Journal of Econometrics 135, 125-154.
    • (2006) Journal of Econometrics , vol.135 , pp. 125-154
    • Chen, X.1    Fan, Y.2
  • 4
    • 31344466558 scopus 로고    scopus 로고
    • Estimation of copula-based semiparametric time series models
    • Chen, X. & Y. Fan (2006b) Estimation of copula-based semiparametric time series models. Journal of Econometrics 130, 307-335.
    • (2006) Journal of Econometrics , vol.130 , pp. 307-335
    • Chen, X.1    Fan, Y.2
  • 5
    • 34247490593 scopus 로고    scopus 로고
    • Chen, X., Y. Fan, & A. Patton (2003) Simple Tests for Models of Dependence between Multiple Financial Time Series: With Applications to U.S. Equity Returns and Exchange Rates. Manuscript, New York University, Vanderbilt University, and London School of Economics.
    • Chen, X., Y. Fan, & A. Patton (2003) Simple Tests for Models of Dependence between Multiple Financial Time Series: With Applications to U.S. Equity Returns and Exchange Rates. Manuscript, New York University, Vanderbilt University, and London School of Economics.
  • 7
    • 0017883262 scopus 로고
    • A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
    • Clayton, D.G. (1978) A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika 65, 141-151.
    • (1978) Biometrika , vol.65 , pp. 141-151
    • Clayton, D.G.1
  • 8
    • 0002537776 scopus 로고
    • Multivariate generalizations of the proportional hazards model (with discussion)
    • Clayton, D. & J. Cuzick (1985) Multivariate generalizations of the proportional hazards model (with discussion). Journal of the Royal Statistical Society, Series A 148, 82-117.
    • (1985) Journal of the Royal Statistical Society, Series A , vol.148 , pp. 82-117
    • Clayton, D.1    Cuzick, J.2
  • 9
    • 0000930851 scopus 로고
    • Kaplan-Meier estimates on the plane
    • Dabrowska, D.M. (1988) Kaplan-Meier estimates on the plane. Annals of Statistics 16, 1475-1489.
    • (1988) Annals of Statistics , vol.16 , pp. 1475-1489
    • Dabrowska, D.M.1
  • 10
    • 38249022745 scopus 로고
    • Kaplan-Meier estimate on the plane: Weak convergence, LIL, and the bootstrap
    • Dabrowska, D.M. (1989) Kaplan-Meier estimate on the plane: Weak convergence, LIL, and the bootstrap. Journal of Multivariate Analysis 29, 308-325.
    • (1989) Journal of Multivariate Analysis , vol.29 , pp. 308-325
    • Dabrowska, D.M.1
  • 11
    • 0017345819 scopus 로고
    • Sustained henodynamic and antianginal effect of high-dose oral isosorbide dinitrate
    • Danahy, D.J., D.T. Burwell, W.S. Aranow, & R. Prakash (1977) Sustained henodynamic and antianginal effect of high-dose oral isosorbide dinitrate. Circulation 55, 381-387.
    • (1977) Circulation , vol.55 , pp. 381-387
    • Danahy, D.J.1    Burwell, D.T.2    Aranow, W.S.3    Prakash, R.4
  • 12
    • 0002101229 scopus 로고    scopus 로고
    • Correlation and dependence properties in risk management: Properties and pitfalls
    • M. Dempster ed, Cambridge University Press
    • Embrechts, P., A. McNeil, & D. Straumann (2002) Correlation and dependence properties in risk management: Properties and pitfalls. In M. Dempster (ed.), Risk Management: Value at Risk and Beyond, pp. 176-223. Cambridge University Press.
    • (2002) Risk Management: Value at Risk and Beyond , pp. 176-223
    • Embrechts, P.1    McNeil, A.2    Straumann, D.3
  • 15
    • 66149152931 scopus 로고
    • Frank's family of bivariate distributions
    • Genest, C. (1987) Frank's family of bivariate distributions. Biometrika 74, 549-555.
    • (1987) Biometrika , vol.74 , pp. 549-555
    • Genest, C.1
  • 16
    • 33646533039 scopus 로고
    • A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
    • Genest, C., K. Ghoudi, & L.-P. Rivest (1995) A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 82, 543-552.
    • (1995) Biometrika , vol.82 , pp. 543-552
    • Genest, C.1    Ghoudi, K.2    Rivest, L.-P.3
  • 17
    • 33745318954 scopus 로고    scopus 로고
    • Goodness-of-fit procedures for copula models based on the integral probability transformation
    • Genest, C., J.-F. Quessy, & B. Rémillard (2006) Goodness-of-fit procedures for copula models based on the integral probability transformation. Scandinavian Journal of Statistics 33, 337-366.
    • (2006) Scandinavian Journal of Statistics , vol.33 , pp. 337-366
    • Genest, C.1    Quessy, J.-F.2    Rémillard, B.3
  • 19
    • 23444460653 scopus 로고    scopus 로고
    • Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models
    • C.M. Cuadras, J. Fortiana, & J.A. Rodríguez Lallena eds, Kluwer
    • Genest, C. & B. Werker (2002) Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models. In C.M. Cuadras, J. Fortiana, & J.A. Rodríguez Lallena (eds.), Distributions with Given Marginals and Statistical Modelling, pp. 103-112. Kluwer.
    • (2002) Distributions with Given Marginals and Statistical Modelling , pp. 103-112
    • Genest, C.1    Werker, B.2
  • 20
    • 17744401343 scopus 로고    scopus 로고
    • Maximum likelihood and the bootstrap for nonlinear dynamic models
    • Gonçalves, S. & H. White (2004) Maximum likelihood and the bootstrap for nonlinear dynamic models. Journal of Econometrics 119, 199-219.
    • (2004) Journal of Econometrics , vol.119 , pp. 199-219
    • Gonçalves, S.1    White, H.2
  • 21
    • 33646146706 scopus 로고    scopus 로고
    • Common factors in conditional distributions for bivariate time series
    • Granger, C.W.J., T. Teräsvirta, & A. Patton (2006) Common factors in conditional distributions for bivariate time series. Journal of Econometrics 132, 43-57.
    • (2006) Journal of Econometrics , vol.132 , pp. 43-57
    • Granger, C.W.J.1    Teräsvirta, T.2    Patton, A.3
  • 22
    • 64849112811 scopus 로고
    • The identiflability of the competing risks model
    • Heckman, J.J. & B.E. Honoré (1989) The identiflability of the competing risks model. Biometrika 16, 325-330.
    • (1989) Biometrika , vol.16 , pp. 325-330
    • Heckman, J.J.1    Honoré, B.E.2
  • 23
    • 0001586998 scopus 로고
    • Survival models for heterogeneous populations derived from stable distributions
    • Hougaard, P. (1986) Survival models for heterogeneous populations derived from stable distributions. Biometrika 73, 387-396.
    • (1986) Biometrika , vol.73 , pp. 387-396
    • Hougaard, P.1
  • 24
    • 33745096550 scopus 로고    scopus 로고
    • Dependence patterns across financial markets: A mixed copula approach
    • Hu, L. (2006) Dependence patterns across financial markets: A mixed copula approach. Applied Financial Economics 16, 717-729.
    • (2006) Applied Financial Economics , vol.16 , pp. 717-729
    • Hu, L.1
  • 26
    • 0000756502 scopus 로고
    • Generalized econometric models with selectivity
    • Lee, L. (1983) Generalized econometric models with selectivity. Econometrica 51, 507-512.
    • (1983) Econometrica , vol.51 , pp. 507-512
    • Lee, L.1
  • 27
    • 26844535216 scopus 로고
    • A simple nonparametric estimator of the bivariate survival function under univariate censoring
    • Lin, D. & Z. Ying (1993) A simple nonparametric estimator of the bivariate survival function under univariate censoring. Biometrika 80, 573-581.
    • (1993) Biometrika , vol.80 , pp. 573-581
    • Lin, D.1    Ying, Z.2
  • 28
    • 0025740785 scopus 로고
    • Regression with frailty in survival analysis
    • McGilchrist, C.A. & C.W. Aisbett (1991) Regression with frailty in survival analysis. Biometrics 47, 461-466.
    • (1991) Biometrics , vol.47 , pp. 461-466
    • McGilchrist, C.A.1    Aisbett, C.W.2
  • 29
    • 0030703728 scopus 로고    scopus 로고
    • Dependence and order in families of Archimedean copulas
    • Nelsen, R.B. (1997) Dependence and order in families of Archimedean copulas. Journal of Multivariate Analysis 60, 111-122.
    • (1997) Journal of Multivariate Analysis , vol.60 , pp. 111-122
    • Nelsen, R.B.1
  • 31
    • 0020144696 scopus 로고
    • A concordance test for independence in the presence of bivariate censoring
    • Oakes, D. (1982) A concordance test for independence in the presence of bivariate censoring. Biometrics 38, 451-455.
    • (1982) Biometrics , vol.38 , pp. 451-455
    • Oakes, D.1
  • 32
    • 0001503306 scopus 로고
    • Semiparametric inference in a model for association in bivariate survival data
    • Oakes, D. (1986) Semiparametric inference in a model for association in bivariate survival data. Biometrika 73, 353-361.
    • (1986) Biometrika , vol.73 , pp. 353-361
    • Oakes, D.1
  • 34
  • 35
    • 34247524557 scopus 로고    scopus 로고
    • On the out-of-sample importance of skewness and asymmetric dependence for asset allocation, 2, 130-168
    • Patton, A.J. (2004) On the out-of-sample importance of skewness and asymmetric dependence for asset allocation. Journal of Financial Econometrics 2, 130-168.
    • (2004) Journal of Financial Econometrics
    • Patton, A.J.1
  • 36
    • 33645716201 scopus 로고    scopus 로고
    • Modeling asymmetric exchange rate dependence
    • Patton, A.J. (2006) Modeling asymmetric exchange rate dependence. International Economic Review 47, 527-556.
    • (2006) International Economic Review , vol.47 , pp. 527-556
    • Patton, A.J.1
  • 37
    • 27544480220 scopus 로고    scopus 로고
    • Stepwise multiple testing as formalized data snooping
    • Romano, J.P. & M. Wolf (2005) Stepwise multiple testing as formalized data snooping. Econometrica 1237-1282.
    • (2005) Econometrica , pp. 1237-1282
    • Romano, J.P.1    Wolf, M.2
  • 38
    • 0029597951 scopus 로고
    • Inferences on the association parameter in copula models for bivariate survival data
    • Shih, J. & T. Louis (1995) Inferences on the association parameter in copula models for bivariate survival data. Biometrics 51, 1384-1399.
    • (1995) Biometrics , vol.51 , pp. 1384-1399
    • Shih, J.1    Louis, T.2
  • 40
    • 34247497677 scopus 로고    scopus 로고
    • Van der Vaart, A. & .T. Wellner (1996) Weak Convergence and Empirical Processes: With Applications to Statistics. Springer-Verlag.
    • Van der Vaart, A. & .T. Wellner (1996) Weak Convergence and Empirical Processes: With Applications to Statistics. Springer-Verlag.
  • 41
    • 0000646447 scopus 로고
    • Likelihood ratio test for model selection and non-nested hypotheses
    • Vuong, Q.H. (1989) Likelihood ratio test for model selection and non-nested hypotheses. Econometrica 57, 307-333.
    • (1989) Econometrica , vol.57 , pp. 307-333
    • Vuong, Q.H.1
  • 42
    • 0442325138 scopus 로고    scopus 로고
    • Model selection and semiparametric inference for bivariate failure-time data (with Comment by V. Peña and Rejoinder by the authors)
    • Wang, W. & M. Wells (2000) Model selection and semiparametric inference for bivariate failure-time data (with Comment by V. Peña and Rejoinder by the authors). Journal of the American Statistical Association 95, 62-76.
    • (2000) Journal of the American Statistical Association , vol.95 , pp. 62-76
    • Wang, W.1    Wells, M.2
  • 44
    • 0000028873 scopus 로고    scopus 로고
    • A reality check for data snooping
    • White, H. (2000) A reality check for data snooping. Econometrica 68, 1097-1126.
    • (2000) Econometrica , vol.68 , pp. 1097-1126
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.