Estimation of a Bivariate Distribution under Univariate Censoring
We compare four estimators of a bivariate distribution function H when both components of the data point (X; Y ) are subject to censoring by the same (univariate) random variable C with distribution G. We use the same simulated data to calculate each of the four estimators for 5 di erent FGM copula...
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| Language: | en |
| Published: |
2011
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| Online Access: | http://hdl.handle.net/10393/19999 |
| Summary: | We compare four estimators of a bivariate distribution function H when both
components of the data point (X; Y ) are subject to censoring by the same (univariate)
random variable C with distribution G. We use the same simulated data to calculate
each of the four estimators for 5 di erent FGM copulas. Finally we nd the best of
the four estimators, that is the adapted path dependent estimator. We will show that
it is not necessarily a good idea to use all the available information about C and that
our estimator of H can be improved by using a worse estimator of G.
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