INFERENCES ON THE ASSOCIATION PARAMETER IN COPULA MODELS FOR BIVARIATE SURVIVAL-DATA

We investigate two-stage parametric and two-stage semi-parametric esti mation procedures for the association parameter in copula models for b ivariate survival data where censoring in either or both components is allowed. We derive asymptotic properties of the estimators and compar e their performance by simulations. Both parametric and semi-parametri c estimators of the association parameter are efficient at independenc e, and the parameter estimates in the margins have high efficiency and are robust to misspecification of dependency structures. In addition, we propose a consistent variance estimator for the semi-parametric es timator of the association parameter. We apply the proposed methods to an AIDS data set for illustration.