A semi-parametric estimation of copula models based on moments method under right censoring

Abstract

Based on the classical estimation method of moments, a new copula estimator was proposed for censored bivariate data. As theoretical results, general formulas were proved with analytical forms of the obtained estimators. Taking into account Lopez and Saint-Pierre’s(2012)[19], Gribkova and Lopez’s (2015)[10] results, the asymptotic normality of the empirical survival copula was established. The dependence structure between the bivariate survival times was modeled under the assumption that the underlying copula is Archimedean. Accounting for various censoring patterns (singly or doubly censored), a simulation study was performed enlighten the behavior of the procedure estimation method, shown the efficiency and robustness of the new estimator proposed.