Biometrics 63, 1089–1098 DOI: 10.1111/j.1541-0420.2007.00802.

x
December 2007

A Copula Approach for Detecting Prognostic Genes Associated

With Survival Outcome in Microarray Studies

Kouros Owzar,1,∗ Sin-Ho Jung,1 and Pranab Kumar Sen2

1
Department of Biostatistics and Bioinformatics, Duke University Medical Center,
Durham, North Carolina 27705, U.S.A.
2
Departments of Biostatistics, and Statistics and Operations Research,
University of North Carolina, Chapel Hill,
North Carolina 27514, U.S.A.
∗
e-mail: kouros.owzar@duke.edu

Summary. A challenging and crucial issue in clinical studies in cancer involving gene microarray experi-
ments is the discovery, among a large number of genes, of a relatively small panel of genes whose elements
are associated with a relevant clinical outcome variable such as time-to-death or time-to-recurrence of dis-
ease. A semiparametric approach, using dependence functions known as copulas, is considered to quantify
and estimate the pairwise association between the outcome and each gene expression. These time-to-event
type endpoints are typically subject to censoring as not all events are realized at the time of the analysis.
Furthermore, given that the total number of genes is typically large, it is imperative to control a relevant
error rate in any gene discovery procedure. The proposed method addresses the two aforementioned issues by
direct incorporation of the censoring mechanism and by appropriate statistical adjustment for multiplicity.
The performance of the proposed method is studied through simulation and illustrated with an application
using a case study in lung cancer.
Key words: Copula; Dependence; Multiple testing; Multivariate distribution; Permutation resampling;
Semiparametric model; Survival analysis.

1. Introduction
Given the emergence and promise of high throughput of ge-
nomic technology, modern clinical studies in cancer are com-
plemented by bioinformatics correlative science companions
involving the analysis of large-scale gene microarray expres-
sion data. A challenging and crucial objective is to investi-
gate potential associations among the clinical endpoints of
the study, such as time to recurrence or time to death, with
these genes. More specifically, what is of interest is to find,
among a large panel of genes, a relatively small subpanel of
genes whose expressions are associated with these clinical out-
comes. In many cases, the clinical outcome is subject to cen-
soring, as the corresponding event for a patient may not have
occurred at the time of the final analysis or for example if that
patient were to be lost to follow-up. As such, the appropriate
modeling of the dependence structure and incorporation of
the censoring mechanism are imperative. Furthermore, given
that relative to the number of samples, the number of genes is
rather large, one must appropriately control a relevant error
rate (e.g., the family-wise error rate [FWER] or the false-
discovery rate [FDR]) in the gene discovery procedure.
Our proposed semiparametric approach assumes a pair-
wise parametric dependence structure between each gene
expression and the time-to-event outcome using dependence
functions known as parametric copulas. Parametric copulas,
for which key concepts and standard examples, albeit outlined
briefly, are provided in the next section, render any joint dis-
tribution function expressible as a function of its marginals
and a scalar, which stipulates the degree of dependence. The
model is semiparametric in the sense that although the pair-
wise dependence structure is parametric, by virtue of the cho-
sen copula, no parametric assumptions are imposed on the
marginal distributions of the time-to-event variable and the
gene expressions. The estimation will be carried out by opti-
mizing a pseudolikelihood, which allows for direct incorpora-
tion of the censoring mechanism. For illustrative purposes, we
will address the issue of multiplicity by controlling a family-
wise type error rate. The proposed method, to be discussed at
a later point, is flexible in allowing other adjustment methods
for multiplicity.
In the forthcoming discussions, it is assumed that, follow-
ing various preprocessing steps (e.g., normalization, filtering,
and aggregation), what is made available, in addition to the
clinical outcome data, for the final analysis, is a matrix of
observed expression data of dimension n × K, where n and
K denote the number of patients and genes, respectively. The
effects and ramifications of these processing steps may be pro-
found and there is potential for missing data. We point out
in advance that the proposed method, as presented here, may
not adequately account for these effects.


C 2007, The International Biometric Society 1089
1090 Biometrics, December 2007
There is a vast amount of literature concerning the prob-
lem of associating gene expressions to a time-to-event end-
point. A limited overview of some of the methods discussed
in this literature is provided next. The pairwise relation-
ships between each gene expression and the time-to-event
outcome can be estimated within the framework of a Cox
model (e.g., Dhanasekaran et al., 2001; Wigle et al., 2002)
or by using a rank-covariance estimator (Jung, Owzar, and
George, 2005). Another frequently used approach (see, e.g.,
André et al., 2002; Shannon et al., 2002), used to circumvent
the censoring issue by considering an event, rather than a
time to event, type endpoint by dichotomizing the outcome
variable at a given clinically relevant time-point (e.g., 2-year
survival). The dichotomization yields the problem amenable
to the employment of classical statistical methods for two-
sample problems (e.g., t-test or Wilcoxon test) as well as clas-
sification and statistical learning methods (e.g., neural nets,
support vector machines, k-nearest neighborhood, classifica-
tion and regression trees). The dichotomization approach may
be biased as the length of follow-up of patients in a clinical
study varies and may not be fully efficient as it fails to incor-
porate all available follow-up data. Rather than the response,
the gene expressions may be dichotomized (e.g., under ver-
sus overexpressed) and the discrepancy in the time-to-event
profiles may then be assessed using, for example, the log-rank
statistic (e.g., Jenssen et al., 2002). The results based on this
approach may be sensitive to the cutoff. Finally, we mention
the method proposed by Li and Luan (2003) who employ the
support vector machine approach by using the negative of the
log-partial-likelihood of the Cox model as the loss function.
Shoemaker and Lin (2005) provide, in addition to a review
article with an extensive bibliography (see chapter 2), a num-
ber of articles employing a diverse collection of methods for
this problem.
2. Copulas: An Overview
The following section will provide a brief overview of some of
the key concepts behind copulas in relation to the study of
bivariate distributions and dependence. To this end, we have
often found the presentation of the following example useful.
It is a matter of simple algebraic manipulations to show that
a standard bivariate (mean zero and unit variance) normal
distribution function, say F with parameter θ is expressible
as
F[x, y] = CN [F1 [x], F2 [y], θ],
for (x, y)T ∈ R2 , where
CN [u, v; θ]
 ξu  ξv  
1 a2 − 2θab + b2
= √ exp − da db,
2π 1 − θ2 −∞ −∞ 2(1 − θ2 )
for (u, v )T ∈ [0, 1]2 , and where ξ p denotes the quantile func-
tion for a univariate standard normal distribution evaluated
at p ∈ [0, 1]. Here F1 and F2 are both standard univariate
normal distribution functions. What one should take away
from this example is that as shown in (1), the joint distri-
bution function F has, by virtue of the function CN , been
rendered expressible as a function of its marginals F1 and F2
and a finite-dimensional parameter θ which, loosely speaking,
stipulates the type (i.e., negative or positive) and the amount
of dependence. Moreover, it is noted that marginals do not
depend on θ. In turns out that there exists a very rich class of
functions, namely parametric copulas, which yield bivariate
distributions expressible as a function of their marginals and
a finite-dimensional dependence parameter.
A copula, from a statistical point of view, can be defined as
a bivariate distribution function with uniform marginals. An
important result, generally attributed to Sklar (1959), stip-
ulates that for any bivariate distribution function F, with
marginals say F1 and F2 , there exists a copula C, such that
(1), expressible as
F[x, y] = C[F1 [x], F2 [y]], (3)
for (x , y)T in the support of F. Furthermore, if F1 and F2 are
continuous, then the given representation is unique. It should
be noted that these C functions have aptly been named copu-
las as they couple a joint distribution to its marginals. A triv-
ial but rather useful converse to this result states that for any
given copula function C and pair of continuous marginals F1
and F2 the function defined as F[x, y] := C[F1 [x], F2 [y]] yields
a bona fide bivariate distribution function. Sklar’s result and
its converse also extend to joint survival functions (i.e., a bi-
variate survival function is expressible as a function of its
marginal survival functions via a copula). We will limit our
attention to the case where both marginals are continuous, to
ensure identifiability of C in (3), and shall refer to C as the
copula generating the distribution F.
Sklar’s result relates copulas to the study of bivariate dis-
tribution functions. Next, we will attempt to illustrate how
copulas relate more specifically to the study of statistical de-
pendence. Most standard measures of association, such as
Pearson’s correlation and Spearman’s rank correlation mea-
sure, as thoroughly discussed in Schweizer and Wolff (1981),
can be expressed in terms of the copula generating the corre-
sponding distribution function. For example, Spearman’s rank
correlation coefficient can be expressed, by a using simple in-
tegral transformation, as
 
ρ[F] = 12 {F[x, y] − F1 [x]F2 [y]} dF1 [x] dF2 [y]
R R
 1 1
= 12 {C[u, v] − uv } du dv. (4)
0 0
The last expression can also be deduced from the fact that ρ[F]
(1)
is the Pearson correlation of (F 1 [X], F 2 [Y ])T . More precisely,
(X, Y)T is distributed according to C[F1 [x], F2 [y]] if and only if
(F 1 [X], F 2 [Y ])T , a random pair with uniform marginals with
variances of 1/12, is distributed according to C[u, v]. Note
that, as expected, the copula presentation of Spearman’s co-
(2) efficient of F is free of the marginals and completely specified
by virtue of its generating copula.
The functions defined as C0 [u, v] = uv , C− [u, v] = max{u +
v − 1, 0} and C+ [u, v] = min{u, v}, for every (u, v ) ∈ [0, 1]2 ,
are all copulas. Any copula is bounded from below and from
above by C− and C+ which are generally referred to as
the lower and upper Frechet–Hoeffding bounds, respectively.
Given that (X, Y)T is a random pair, whose joint distribution
is generated by a copula C, then trivially X and Y are inde-
pendent if and only if C attains C0 . Moreover, X is an almost
 A Copula Approach for Detecting Prognostic Genes 1091

surely increasing (decreasing) function of Y if C attains the
upper (lower) Frechet–Hoeffding bound. Note that, from prac-
tical point of view, the independence and Frechet–Hoeffding
bounds may be of limited use for the empirical study of de-
pendence, as this would require the assessment of the em-
pirical discrepancy between the estimated copula surface and
the three bounds. Fortunately, there exists a rich subfamily of
ing hypotheses can be canonically presented as testing H0k :
T ⊥ Xk versus H1k : T ⊥ X k , where the symbols ⊥ and ⊥
are used to denote stochastic independence and dependence,
respectively. The main hypotheses of interest are canonically
presented as testing

K

H0 : T ⊥ X k for all k ∈ {1, . . . , K} = H0k , (7)

copulas, such as exemplified already by (1), whose elements
k=1
are parameterized by finite-dimensional parameters. The ad-
vantage, from a practical point of view, is that the discrepancy versus the general alternative
between the copula C and C0 , C− and C+ can be quantified in
terms of a one-dimensional dependence parameter.

K

H1 : T ⊥ X k for some k ∈ {1, . . . , K} = H1k . (8)

2.1 Examples of Parametric Copulas k=1

The normal copula CN (2) has already been introduced. For
this copula, CN ( ) C0 as θ ( ) 0, CN C− as θ −1
and CN C as θ
+
+ 1, where ( ) denotes monotone
increasing (decreasing) pointwise convergence. Frank’s copula
(Frank, 1979) is defined as
 
1 (1 − exp[−θu])(1 − exp[−θv])
CF [u, v, θ] = − log 1 − , (5)
θ 1 − exp[−θ]
where θ ∈ R − {0}. For this copula CF ( )C0 as θ ( )0,
CF C− as θ −∞ and CF C+ as θ + ∞. Finally,
Clayton’s copula (Clayton, 1978) is defined as
1 is the marginal Fk or the dependence parameter θk . Although
CC [u, v, θ] = {u1−θ + v 1−θ − 1} 1−θ .
where θ ∈ (1, ∞). It can be shown that CC C as θ
0
and CC C+ as θ + ∞. We note that the normal copula
and Frank’s copula admit negative as well as positive depen-
dence structures, while Clayton’s copula only admits a posi-
tive dependence structure. Furthermore, for all these copulas
the convergence to C0 , C− , or C+ is monotone in θ. As such θ
provides insight about the direction (i.e., positive or negative)
as well as degree of dependence.
2.2 Further Reading
As the provision of a comprehensive account on copulas and
their relation to the study of bivariate distributions and de-
pendence is not within the purview of this article, what has
been presented is a selection of topics in an attempt to moti-
vate their utility. Most, but not all, of the properties discussed
naturally extend to higher dimensions. The monographs by
Joe (1997) and Nelsen (1998) provide comprehensive accounts
on copulas. In particular, both monographs provide a exten-
sive list of parametric copulas and their related properties.
Both of these references also discuss the application of copu-
las in the context of survival functions and provide compre-
hensive lists of references on topics related to copulas.
3. Copula Modelings in Microarrays
3.1 General Hypothesis
With the preliminary notion of copulas outlined in Section 2,
The null and alternative hypotheses formulated above can
be identified as a (finite) union-intersection hypothesis test-
ing problem (see Roy, 1953). It is assumed that for each k ∈
{1, . . . , K}, the joint distribution of (T, Xk )T is generated by
a parametric copula C[u, v, θk ] such that
Fk [t, x] = C[F0 [t], Fk [t], θk ], (9)
where F0 and Fk are the marginal distributions of T and Xk ,
respectively. Note that under this assumption, as C is not
subscripted by k, the pairs (T, Xk )T all share the same depen-
dence structure. What potentially differs among these pairs
(6) one can weaken the assumption of a common copula, it is not
1 deemed to be practical for the problem at hand. We note that
to associate Fk and θk in (9) with gene k, we have subscripted
them by k. This should not give the erroneous impression that
the marginal depends on the parameter θk . We may reformu-
late the hypotheses of interest, in terms of testing

K
 
H0 : C[u, v, θk ] = uv for all (u, v)T ∈ [0, 1]2 , (10)
k=1
versus

K
 
H1 : C[u, v, θk ] = uv for some (u, v)T ∈ [0, 1]2 . (11)
k=1
We will assume that the variable T is subject to some in-
dependent right censoring mechanism. As such, what is ob-
served, at time of the analysis, are not T n = (T 1 , . . . , Tn ), the
actual event times, but rather Y n = (Y 1 , . . . , Yn )T , where
Yi = min{Ti , Ci } and C n = (C 1 , . . . , Cn )T are the censor-
ing times. The corresponding event variables are defined as
∆i = I[Ti ≤ Ci ]. It may be helpful to visualize the observed
data as the n × (2 + K) matrix
 


(Y n , ∆n )  X n,1 , . . . , X n,K  , (12)
 
n×2 n×K

our main objective is to incorporate the copula models in mi- where X n,k
= (X k k T
1 , . . . , Xn )
denotes the vector of the n
croarray studies. We start with a general hypothesis formula- expressions for gene k ∈ {1, . . . , K} and ∆n = (∆1 , . . . , ∆n )T
tion. Let T denote a realization of the clinical time-to-event denotes the vector of event variables.
variable of interest and let X1 , . . . , XK denote generic expres-
sions for genes 1 through K. Gene k ∈ {1, . . . , K} is considered 3.2 Single Gene Case
to be prognostic if its corresponding expression, namely Xk , is In this section, we will outline the estimation procedure
associated with the time-to-event variable T. The correspond- to be employed for estimating the dependence between the
1092 Biometrics, December 2007

time-to-event response and a single gene. Following the no- obtain an estimator by optimizing the corresponding pseudo-
tation of the preceding section, the joint distribution of (T, likelihood as:
Xk )T is given by    
θ̂nk = θnk F̂0n , F̂kn = argmax n θ | F̂0n , F̂kn . (21)
Fk [t, x] = C[F0 [t], Fk [x], θk ], (13) θ∈Θ

This is a reasonable approach, as the primary objective is to

where F0 and Fk denote the marginal distribution functions of
investigate the association between the time-to-event outcome
T and Xk , respectively. It will be assumed that these marginals
and the gene expression. In essence the marginals, which do
are absolutely continuous so that Fk , F0 , and Fk admit density
not depend on θk , are treated as nuisance parameters. Note
functions say hk , f0 , and fk , respectively. We may write the
that in the case where the marginals are assumed to be known,
likelihood function based on the observed data as
the summands in (19) are mutually independent and conse-

n
¯ quently the statistical properties (e.g., weak convergence) of
Ln [θk , F0 , Fk ] = hk [yi , xi ]∆i {−F̄k01 [x, y]}∆i , (14) the estimator (20) may be obtained by employing standard re-
i=1 sults for M-estimators. The summands of the pseudolikelihood
where ∆ ¯ i = 1 − ∆i , F̄ denotes the bivariate survival function obtained by substituting the NPMLE estimators are, however,
corresponding to F and F̄k01 [t, x] = ∂x ∂
F̄k [t, x]. Next, we will not independent. As such, obtaining the asymptotic proper-
express this likelihood in terms of the copula function C in ties of the estimator requires more careful consideration. The
(13). It is easily shown, that special case of using the NPMLE marginal estimators is dis-
cussed in many papers including Genest, Ghoudi, and Rivest
−F̄k01 [x, y] = {1 − C01 [F0 [t], Fk [x], θk ]}fk [x], (15) (1995) and Shih and√Louis (1995). If the true parameter value
of θk is say θ0 , then n(θ̂nk − θ0 ) is asymptotically normal with
where C01 [u, v, θ] = ∂
∂v
C[u, v, θ] and that the density of (T,
mean zero. If none of the observations are censored (i.e., ∆i
Xk ) in (14) can be written as
= 1 for all i ∈ {1. . . . , n}), its asymptotic variance is given
hk [t, x] = C11 [F0 [t], Fk [x], θk ]f0 [t]fk [x], (16) by

where C11 [u, v, θ] = ∂udv
∂ 2
C[u, v, θ], which together with (15) 1 V D10 [U | θ] + D01 [V | θ]]
2
σ [θ] =  +  2 , (22)
yield the likelihood (14) expressible as ˙ U , V ]2
E [θ, ˙ U , V ]2
E [θ,
Ln [θ, F, Fk ] where (U,V)T is a generic pair from the uniform copula
n
 C[u, v, θ], and where
¯
= Ψn
k C11 [F0 [yi ], Fk [xi ], θk ]∆i C̄01 [F0 [yi ], Fk [x], θk ]∆i ,  1 1
i=1 D10 [u∗ |θ] = I[u∗ ≤ u]˙10 [u, v, θ]C11 [u, v, θ] du dv, (23)
(17)
 1
0 0
1
where
D01 [v ∗ |θ] = I[v ∗ ≤ v]˙01 [u, v, θ]C11 [u, v, θ] du dv, (24)

n
 ¯i  0 0
Ψn = {f0 [yi ]fk [xi ]} fk [xi ]
∆i ∆
, (18)
k
for (u∗ , v ∗ ) ∈ (0, 1)2 and where [u,
˙ v, θ] = ∂ log C11 [u, v, θ].
∂θ
i=1
We note that the first summand in the left-hand side of
and where C̄01 = 1 − C01 . If F0 and Fk were known, then the (22) should look familiar as it is the asymptotic variance
log likelihood of (17), as the quantity Ψnk does not depend on for the maximum likelihood estimator of θ in the case where
θk , would be proportional to the marginals are known. The second summand represents the
additional variance attributed to the fact that the marginals
n [θ, F0 , Fk ] ∝ n [θ | F0 , Fk ]
in the likelihood are replaced by empirical estimators. In pres-

n
ence of censoring, a similar, but notationally more compli-
= {∆i log C11 [F0 [yi ], Fk [xi ], θk ] cated, decomposition of the asymptotic variance is obtained
i=1 (see Shih and Louis, 1995). We have opted to restrict this dis-
¯ i log C̄01 [F0 [yi ], Fk [xi ], θk ]}.
+∆ cussion to the simpler case, as our mere objective is the illus-
(19)
tration of the decomposition of the asymptotic variance (22)
In this case, the only remaining parameter is θk for which along with its invariance with respect to the marginals. Effi-
an estimate may be obtained by optimizing the estimating cient estimation methods for copulas are discussed in Bickel
function et al. (1993).
θnk [F0 , Fk ] = argmax n [θ | F0 , Fk ]. (20) 3.3 Multiple Genes
θ∈Θ
The estimation procedure to estimate the dependence be-
The marginals, however, are generally unknown, and unless tween the time-to-event variable and gene k, described in the
parametric assumptions, at the potential cost of sacrificing preceding section, can be applied to each of the K genes
robustness, are to be made on the marginals, the optimiza- to estimate the vector of the dependence parameters θ =
tion of (17) is impractical as the parameter space is infinite (θ1 , . . . , θK )T by θ̂K,n = (θ̂1n , . . . , θ̂K
n T
) . For notational sim-
dimensional. One may consider replacing F0 and Fk in (19) plicity, we will assume that independence is attained if θ = θ0
by marginal estimators F̂0n and F̂kn , for example the standard (i.e., C[u, v, θ0 ] = uv for all (u, v)T ∈ [0, 1]2 ). Loosely speaking,
nonparametric maximum-likelihood estimators (NPMLE), to a gene can be thought of as prognostic if |θ̂nk − θ0 | is “large”
 A Copula Approach for Detecting Prognostic Genes 1093

under H0k . We may quantify the degree of evidence against Table 1

H0k by calculating an asymptotic P-value, when the sample Canonical representation of FWER, power, FRR, and TRR.
size√n is large enough, by utilizing the asymptotic normality Here K denotes the number of genes (equal to the number of
of n(θ̂nk − θ0 ) under H0k as discussed in the previous sec- of hypotheses) and D ∈ {0, . . . , K} denotes the number of
tion. Alternatively, we may consider quantifying the degree prognostic genes.
of evidence against H0k by approximating the null distribu-
FWER P[Reject H01 or . . . or Reject H0K | H0 ]
tion using permutation resampling. This is the approach to
be considered in this article. The objective concerns the com- Power P[Reject H01 or . . . or Reject H0D | HD 1 ]
posite hypotheses (7) and (8) and not the individual hypothe- FRR P[Reject H0i | H1 ] for i ∈ {D + 1, . . . , K}
D
ses, H01 , . . . , H0K , for which the aforementioned so-called “un- P[Reject H0i | HD
TRR 1 ] for i ∈ {1, . . . , D}
adjusted” P-values quantify evidence against. As such, it is
imperative, in view of the large number of genes, to employ
an adequate procedure to account for multiplicity. For the
true-rejection rate TRR (i.e., probability of rejecting a par-
purpose of this presentation, the goal will be to adequately
ticular, out of the D, prognostic) genes. Without loss of gen-
control the FWER at some nominal level say α. We do point
erality, we may assume that genes 1 through D are prognostic
out from the outset that the goal of this paper is not the ad-
and genes D + 1 through K are not prognostic and denote
vocacy of a specific adjustment procedure for multiplicity. In
this local alternative as
the final section, we will briefly outline an alternate approach.
More specifically, we want to find a critical value, say ζ α such HD
1 = {H11 , . . . , HD1 , HD+1,0 , . . . , HK,0 }. (30)
that
     Note that HD is one of the 2 − 1 members of H1 (8). The
K
α ≥ P0 θ̂1n − θ0  > ζα or . . . or θ̂K − θ 0  > ζα
n 1
canonical representations of the statistical properties of inter-
    est are provided in Table 1.
= P0 Λ θ̂K,n ; θ0 > ζα , (25)
where 4. Empirical Results
     n  4.1 Overview
Λ θ̂K,n ; θ0 = max θ̂1n − θ0 , . . . , θ̂K − θ0  , (26)
To empirically illustrate some of the statistical properties of
and where P0 denotes the probability measure under H0 . We the proposed methodology, we will employ the normal cop-
do point out that this definition of FWER may not necessarily ula (2). Note that as this copula attains independence at
coincide with those given in other papers. As pointed out θ0 = 0, we may rewrite the hypotheses (7) and (8) as testing
previously, we will approximate the critical value ζ α using H0 : ∩K
k=1 [θk = 0] versus H1 : ∪k=1 [θk = 0]. In this case some
K

permutation resampling. In essence, what we aim to do is to elementary manipulations yield

find ζ̃α such that   
ξu − θξv
    log[1 − C01 [u, v, θ]] = log 1 − Φ1 √
α ≥ P̃0 Λ θ̂K,n ; θ0 > ζ̃α , (27) 1 − θ2
  
where P̃0 is the permutation-resampling approximation of P0 . −ξu + θξv
= log Φ1 √ , (31)
Let Pn denote the set of all permutations of the integers 1 − θ2
1 through n. Given ρ ∈ Pn , let (Yn , ∆n )ρ denote the re-
and
sponse vector (Yn , ∆n ) permuted row-wise according to ρ.
A permutation replicate of the estimator θ̂K,n , say θ̃ρK,n = 1
log C11 [u, v, θ] = − log[1 − θ2 ]
(θ̃1ρ,n , . . . , θ̃K
ρ,n T
) , is obtained by re-estimating the K associa- 2
tion parameters, as before, using (Y n , ∆n )ρ instead of (Yn , 1  2 2  
+ −θ ξu + ξv2 + 2θξu ξv , (32)
∆n ). The gene expressions X n,1 , . . . , X n,K are to be held fixed 2(1 − θ )
2

in place. Subsequently, a permutation replicate of Λ[θ̂K,n ; θ0 ]

for (u, v )T ∈ [0, 1]2 and θ ∈ [−1, 1], which can be used to
is obtained as
construct the pseudo-log likelihood (19). To avoid numerical
     
Λ θ̃K,n ; θ0 = max θ̃1n − θ0 , . . . , θ̃K
n
− θ0  . (28) difficulties in computing this pseudo-log likelihood, we will
restrict the estimates of the marginals of Xk and T to the
Gene k will be determined “prognostic,” at a FWER rate of at interval (0, 1). To estimate, the marginal of Xk we will use,
most α, if θ̂kn > ζ̃α . An adjusted empirical two-sided P-value
n−1 1   k 
n
for testing H0k can be obtained as
F̂kn [x] = I Xi ≤ x , (33)
n n
1    
B i=1
p̃B
k = I θ̂kn > Λ θ̃jK,n ; θ0 . (29)
B which is the standard NPLME of Fk weighted by a factor of
j=1 n−1
n
. This weighting is suggested in Genest et al. (1995). To
To further assess the statistical properties of the proposed estimate F0 , the marginal distribution function of T, we will
methodology, we may want to evaluate the power (i.e., the use the following weighted version of the Breslow estimator
probability of rejecting at least one of the D prognostic genes), n−1 
the false-rejection rate FRR (i.e., the probability of rejecting F̂0n [t] = 1 − exp[−dΛ̂[tj ]], (34)
n
a particular, out of the K − D, nonprognostic genes) and the j:T(k) ≤t
1094 Biometrics, December 2007

where Λ̂ is the empirical estimator of the cumulative hazard Table 2

function Λ[t] = −log [1 − F 0 [t]] and where T (1) <· · ·< T (M ) This table illustrates the empirical control of the FWER, as
denote the M (out of n) ordered observed event times. We note defined in Table 1, under H0 (7) at the nominal two-sided
that we have chosen the Breslow, rather than the more ubiq- FWER level of α = 0.05. Each example is based on N = 1000
uitous Kaplan–Meier estimator, to ensure that the estimates simulations where the sampling distributions of (28) based on
of the marginal survival function are positive so as to avoid the normal copula is approximated with B = 1000 random
numerical difficulties in the likelihood calculations. The trade- permutations. In this table K denotes the number genes while
off of using the Breslow estimator Kaplan–Meier estimator is D denotes number of prognostic genes (equal to zero in this
discussed in detail in Fleming and Harrington (1984). case). Here ρ denotes the correlation between the gene
expressions while q denotes the expected proportion of censored
4.2 Multivariate Case
observations. The data were simulated according to (35), (36),
In this section, we will outline a simulation study to empiri- and (37). The censoring variables were drawn from a uniform
cally evaluate the FWER, FRR, TRR, and power, as defined distribution.
in Table 1, of the proposed procedure. Without loss of gen-
erality, we will concentrate on nonnegative dependence (i.e., n = 50 n = 100
q q
θ ≥ 0). With %ij , τ 0i and τ 1i for (i , j ) ∈ {1, . . . , n} × {1, . . . , K}
constituting a set of mutually independent standard normal K D ρ 0.2 0.4 0.2 0.4
variates, we will define 10 0 0.0 0.059 0.062 0.042 0.055
  0.3 0.048 0.049 0.048 0.053
log Ti = %i 1 − η[θ] + τi0 η[θ], (35) 0.6 0.041 0.052 0.047 0.047
and 100 0 0.0 0.045 0.059 0.031 0.055
 √ 0.3 0.044 0.051 0.058 0.046
Xij = %ij 1−ρ+ τi1 ρ 0.6 0.045 0.048 0.059 0.058

+ τi0 η[θ]I[j ∈ {1, . . . , D}, θ = 0], (36) 1000 0 0.0 0.067 0.051 0.047 0.047
√ 0.3 0.057 0.050 0.057 0.049
−1 2 0.6 0.039 0.041 0.040 0.040
where η[θ] = 2 θ{θ + θ + 4}I[θ > 0]. It is trivial to show
that Corr[Ti , Xij ] = θI[j ∈ {1, . . . , D}, θ = 0] and that



ρ + η[θ]
if 1 ≤ k < l ≤ D
The power, TRR, and FRR were simulated for n = 50, K =
ρ1 = 1 + η[θ]
 1000, θ ∈ {0.5, 0.6}, ρ ∈ {0.0, 0.3, 0.6}, and q ∈ {0.2, 0.4}. The


results are shown in Table 3. The pairs presented under the
Corr[Xik , Xil ] = ρ2 =  ρ if 1 ≤ k ≤ D, D < l ≤ K

 columns for FRR and TRR represent the empirical ranges.


1 + η[θ]

 We note that the FRR is consistently low. If θ = 0.6, for q =
ρ3 = ρ, if D < k < l ≤ K, 0.2, the power is at least 0.8, while the TRR, depending on
(37) ρ, ranges from 0.42 to 0.55. An increase of censoring to q =
0.4, reduces the power to about 0.6 with TRR ranging from
if θ > 0. In essence, we have imposed a block compound-
0.25 and 0.33.
symmetric type covariance structure on the gene expressions.
Note that when D = 0 (or equivalently in this case if θ = 4.3 Case Study
0), which is used to study the FWER, the simulation can be Next, we will apply our proposed method to a data set origi-
carried out in a more efficient manner by simply skipping the nally discussed and extensively analyzed in Beer et al. (2002).
simulation of τ 0i and setting log Ti = %i . Also note that in this The data set is comprised of gene expressions from K = 4966
case Corr[Xik , Xil ] = ρ if k = l. Note that T, by construction, genes from n = 86 patients with stage I (nI = 67) or III (nIII =
has a standard log-normal distribution and that whenever D > 19) lung adenocarcinoma. The primary clinical endpoint of
0, the correlation between T and Zk for k ∈ {1, . . . , D} is interest is survival. A number of additional demographic and
not θ as T was obtained via a nonlinear transformation. The clinical covariables (e.g., age and tumor size) are provided.
censoring times C1 , . . . , Cn are to be drawn from a uniform The reported proportions of censored stage I and III patients
distribution on [0, cq ]. To ensure that the expected propor- are 0.81 and 0.42, respectively (the overall censoring level is
tion of censored observation
 cq  cq is q ∈ (0, 1), we will choose cq 0.72). The authors present the results from two “separate but
to satisfy 1 − q = 0 y c−1 q g[y] dc dy, where g[y] denotes the complementary” approaches to investigate the potential asso-
density function for a standard log-normal distribution. The ciations between the gene expressions and survival. For each
results of the simulations are presented in Tables 2 and 3. gene, the two-sample t-test is used to quantify the discrepancy
For each example, a two-sided nominal level FWER of α = between the distribution of the gene expressions for stage I
0.05 was used. Each example is based on N = 1000 simula- and that of the gene expressions for stage III patients. The
tions in each of which the sampling distribution of (26) under association between the time to event and gene expressions
H0 was approximated using B = 1000 random permutation is modeled within the framework of log-linear Cox models. A
replicates. The FWER was simulated for n ∈ {50, 100}, K ∈ detailed account of the analyses summarized in Beer et al.
{10, 100, 1000}, ρ ∈ {0.0, 0.3, 0.6}, and q ∈ {0.2, 0.4}. The (2002) is provided in a supplementary document available for
results shown in Table 2 exhibit that the empirical FWER download from the webpage of the publishing journal.
is consistently close to that of the two-sided nominal level of The analysis using the method proposed in this paper was
α = 0.05. carried out using B = 10,000 random permutation replicates.
 A Copula Approach for Detecting Prognostic Genes 1095

Table 3
This table illustrates the empirical power, TRR and FRR as defined in Table 1, under
HK:D
1 (30) at the nominal two-sided FWER level of α = 0.05. Each example is based on
N = 1000 simulations where the sampling distributions of (28) based on the normal copula
is approximated with B = 1000 random permutations. In this table K denotes the number
genes while D denotes number of prognostic genes. The data were simulated from a
block-compound-symmetric normal distribution given by (35), (36), and (37). Here θ
denotes the correlation between the prognostic genes and the time-to-event variable, ρ
denotes the correlation between the gene expressions and q denotes the expected proportion
of censored observations. The censoring variables were drawn from a uniform distribution.

q n K D θ ρ Power FRR TRR

0.2 50 1000 5 0.5 0.0 0.469 (0.000,0.002) (0.128, 0.153)
0.3 0.451 (0.000,0.002) (0.145, 0.175)
0.6 0.459 (0.000,0.002) (0.218, 0.240)
0.6 0.0 0.845 (0.000,0.002) (0.378 0.421)
0.3 0.801 (0.000,0.001) (0.402 0.445)
0.6 0.827 (0.000,0.002) (0.530 0.550)
0.4 50 1000 5 0.5 0.0 0.268 (0.000,0.002) (0.055, 0.079)
0.3 0.268 (0.000,0.001) (0.074, 0.084)
0.6 0.293 (0.000,0.003) (0.111, 0.131)
0.6 0.0 0.653 (0.000,0.001) (0.225, 0.252)
0.3 0.593 (0.000,0.002) (0.232, 0.251)
0.6 0.612 (0.000,0.004) (0.314, 0.332)

The 30 (out of K = 4966) genes with the smallest adjusted
P-values, as described in (29), are displayed in Table 4. It
is noted that none of the genes were found to be significant
at the two-sided 0.05 FWER level. The gene with the small-
est adjusted P-value was FUCA1 with an adjusted P-value of
0.0995. The BCR gene has an adjusted P-value of 0.1597. The
next smallest P-value is 0.3077 for gene LCK. The intersec-
tion between the top thirty genes in Table 4 with that of the
genes in the top 100 list of Beer et al. (2002), and with that
of the genes listed in Table III of Jung et al. (2003) have been
indicated in Table 4. These data were also analyzed by Jung
et al. (2005), who have reported KIAA0084 and NP, with ad-
justed two-sided P-values of 0.0227 and 0.0769, respectively.
Both these genes are included in Table 4 but with larger ad-
justed P-values of 0.3815 and 0.4722, respectively. It should
be pointed out that the analysis carried out by Beer et al.
(2002) seemingly does not adjust for multiplicity. As such, a
direct comparison to the results presented by our method and
those reported in Jung et al. (2005) may not be appropriate.
This data set has also been analyzed in several other papers
(see Shoemaker and Lin, 2005).
5. Final Remarks
Although the proposed methodology does not make paramet-
ric assumptions on the marginal distributions, it does make,
by virtue of the chosen parametric copula, parametric as-
sumptions on the dependence structure. The estimation of
the dependence parameter for many copulas is rather tricky
around the value θ0 at which the copula attains C0 . Many cop-
ulas, such as Frank’s copula (5), attain C0 only in the limit.
The normal copula was employed for the simulation and case
studies presented in this paper as it enjoys computational ro-
bustness, which is an attractive feature from a practical point
of view. The normal copula, however, does not admit so-called
tail dependence (see, e.g., Joe, 1997; Nelsen, 1998). The latter
refers to dependence property which stipulates that extreme
realizations of one variable are associated with extreme re-
alizations for the other dependent variable. Furthermore, by
virtue of the assumption in (13), we have implicitly assumed,
as the copula C does not depend on k, that the pairwise de-
pendence structures between T and all K genes are identical
up to the parameter θk . If a small panel of interesting target
genes were to be identified, for example from findings of a pre-
viously conducted pilot study, then one may consider limiting
the analysis to the genes in the panel and model the depen-
dence structure for each of the target genes using copulas.
This may, needless to say, result in modeling the genes using
different copulas. The copula model selection methods dis-
cussed in Wang and Wells (2000b) may be helpful to this end.
It is important to note that under independence any copula
reduces to the independence copula (C[u, v, ] = uv ). As such,
any misspecification due to a wrong choice of the copula will
not have an effect on FWER and FRR. Such misspecification
may degrade the power and TRR.
In addition to the copula method proposed in this pa-
per, as we have already pointed out in the literature review,
one may consider using Cox regression or the rank-covariance
estimator discussed in Jung et al. (2005) to model the pairwise
associations. The latter can be thought of as a nonparamet-
ric counterpart to Cox regression. More specifically, one may
think of the latter as Cox regression on the ranks of the co-
variate. Additional details are provided in Jung et al. (2005)
on page 3079. For notational brevity, we will refer to this as
the nonparametric Cox method. What all of these three meth-
ods have in common is that they enable the direct incorpora-
tion of the censoring mechanism and the covariate (i.e., gene
1096 Biometrics, December 2007

Table 4 The Cox regression method may not be robust in presence

This table lists the top thirty (out of K = 4966) adjusted of outliers as for example illustrated in Jung et al. (2005).
P-values (P̃kB ) for the data presented in Beer et al. (2002). The method proposed in this paper and the nonparametric
The unadjusted P-values (p̃B k ) have been provided as well. The Cox method are invariant with respect to monotone increasing
P-values are calculated based on (29) using B = 10,000 transformations of the gene expressions while the Cox is not.
permutation replicates. The intersection of the genes listed in That may be a desirable property as gene expression data are
this table and those in Table II of Jung et al. (2005) is often transformed (e.g., log base 2).
subscripted by 1 while the intersection with the genes listed in One advantage enjoyed by the Cox regression method is
the“top 100” list in Beer et al. (2002) is subscripted by 2. that it does enable the direct incorporation of additional de-
Additionally, the permutation unadjusted P-values p̃B k , based mographic and clinical co-variables as a way of adjusting for
on (40) and the q-values Q̃B k (see Storey, 2002) have been what may be deemed to be important auxiliary effects. For
provided. example, the data set discussed in our case study consists of
patients with stage 1 or 3 adenocarcinomas. In Beer et al.
Symbol Probeset ID p̃B
k P̃kB Q̃B
k (2002), empirical evidence has been provided suggesting that
PRDM22 U17838 at 0.0006 0.7926 0.0776 there are discrepancies in the survival profiles with respect to
SLC6A3 Y10141 s at 0.0008 0.7860 0.0796 disease stage. We should point out that the work on extending
TXNRD1 X91247 at 0.0004 0.7576 0.0706 the method proposed in this paper to allow for inclusion of
CEBPB HG3494-HT3688 at 0.0006 0.7499 0.0776 auxiliary covariables, for adjusting the survival function and
CD37 X14046 at 0.0003 0.7416 0.0582 the gene expressions, is under way.
DBP2 U48213 at 0.0005 0.7411 0.0776 In the case of the Cox and nonparametric Cox methods, the
HSPA9B L15189 s at 0.0010 0.7349 0.0809 association between the time-to-event variable and the gene
PTPRCAP2 X97267 rna1 s at 0.0002 0.7249 0.0517
expression is modeled in the framework of regression mod-
CRK2 D10656 at 0.0003 0.7189 0.0582
NULL M21388 r at 0.0008 0.7063 0.0796 els. One advantage enjoyed by the proposed method is that
TRB@ M12886 at 0.0008 0.6995 0.0796 the dependence parameter, which although for many copulas
CD6 X60992 at 0.0004 0.6995 0.0706 may not have a natural interpretation, may be transformed
COPB X82103 at 0.0006 0.6524 0.0776 into standard measures of association to provide some intu-
TRA@ M12959 s at 0.0001 0.6455 0.0388 ition about the degree of dependence. Once an estimate of
GPC31,2 L47125 s at 0.0002 0.5990 0.0517 the dependence parameter, say θ̂n , is obtained, one can get a
EP300 U01877 at 0.0001 0.5524 0.0388 plug-in estimate of the Spearman coefficient as
CD48 M37766 at 0.0001 0.5160 0.0388  1 1
PDE7A1,2 U67932 s at 0.0002 0.5102 0.0517
KIAA0212 D86967 at 0.0002 0.4982 0.0517 ρ̂[C] = 12 {C[u, v, θ̂n ] − uv } du dv. (38)
0 0
STC12 U25997 at 0.0001 0.4875 0.0388
TCP1 X52882 at 0.0003 0.4749 0.0582 For Kendall’s τ , the plug-in estimate based on θ̂n is given by
NP1,2 K02574 at 0.0003 0.4722 0.0582  1 1
HSU532091 U53209 at 0.0002 0.4684 0.0517
TMSB4X2 M17733 at 0.0003 0.3913 0.0582 τ̂ [C] = 4 C[u, v, θ̂n ]dC[u, v] − 1. (39)
0 0
KIAA00841,2 D42043 at 0.0000 0.3815 0.0000
MS4A21 X12530 s at 0.0001 0.3350 0.0388 In the case of the normal copula these quantities can be, using
PRKACB1 M34181 at 0.0001 0.3138 0.0388 some elementary calculations (see Kepner, Harper, and Keith,
LCK U23852 s at 0.0000 0.3077 0.0000 1989), obtained as ρ̂[CN ] = 6π −1 arcsin[2−1 θ̂n ] and τ̂ [CN ] =
BCR X14675 at 0.0000 0.1597 0.0000 2π −1 arcsin[θ̂n ]. As in most cases, these quantities are not
FUCA11,2 M29877 at 0.0000 0.0995 0.0000
readily available in closed form, they must be approximated
using numerical integration. We should point out that other
methods for obtaining Kendall τ type estimators in presence
expression) without arbitrary classification (e.g., short versus of censoring have been considered in the literature (see, e.g.,
long survivor or under versus overexpressed). All three meth- Oakes, 1982 or Wang and Wells, 2000a).
ods are robust with respect to estimating the marginal effect The procedure presented in this paper and the Cox regres-
of the time-to-event variable by virtue of using rank-based sion method are computationally intensive as each of the B
methods. All three methods will adequately control FWER. permutations require of K quasi- or pseudolikelihood type
By comparing Table 3 of this manuscript and Table II in optimizations. The nonparametric Cox method is less com-
Jung et al. (2005), one observes that the method proposed putationally intensive as the statistic may be computed in
in this paper and the nonparametric Cox method have com- closed-form. The computational intensity is not a major draw-
parable power and TRR performance, and have for all prac- back for the purpose of data analysis, especially considering
tical purposes negligible FRR. It should be noted that the that the permutations can be easily parallelized and the pro-
results provided in this paper are based on a two-sided al- cedure is executed at most a handful of times. In the context
ternative whereas those in Table II in Jung et al. (2005) are of large-scale simulations, as for example needed for power
based on a one-sided alternative. As the case study example and sample-size calculations, the proposed procedure may be
illustrates, the results are rather sensitive to the choice of the computationally prohibitive. The number of replicates used
method employed. Therefore, we will use the next few sections for the simulations was B = 1000. We repeated some of the
to highlight some of the differences among these methods. examples in Tables 2 and 3 for B = 5000 or B = 10,000 and
 A Copula Approach for Detecting Prognostic Genes 1097

did not notice any considerable changes in the results. The Table 5
code used for the numerical work presented in this paper is This table lists the top thirty (out of K = 4966) adjusted
available, for use with R (R Development Core Team, 2006), P-values (P̃kB ) for the data presented in Beer et al. (2002) by
from the first author. Currently, the code only incorporates modeling the pairwise associations using a log-linear Cox
the normal copula and offers some rudimentary facilities for model. The P-values are calculated based on (29) using B =
parallelization via Snow and Rmpi (Rossini, Tierney, and Li, 10,000 permutation replicates.
2003).
The multiple testing method employed in this paper aims Symbol Probeset ID P̃kB
to control a FWER to ensure that the probability of erro- HPCAL1 D16227 at 0.9131
neously classifying any gene as prognostic given that none KIAA0263 D87452 at 0.9113
of the genes are prognostic is adequately controlled. We re- FUT3 U27326 s at 0.8822
iterate that the main thrust of this paper is intended to be NULL AFFX−HUMGAPDH/M33197 5 at 0.8747
the illustration of the applicability of copulas in applied prob- SUI1 L26247 at 0.8224
lems and not the advocacy of any specific method for multiple RPS3 X55715 at 0.8118
testing. Common criticisms leveled against the employment of KIAA0020 D13645 at 0.8029
UGP2 U27460 at 0.7798
FWER is that it is too conservative. Alternatively, one may
S100P X65614 at 0.7111
consider controlling a FDR as for example described in Ben- FLJ20493 HG613−HT613 at 0.6838
jamini and Hochberg (1995) or Storey (2002). To this end, BM−002 Z70222 at 0.6809
the unadjusted P-value for gene k can be easily
√ approximated ARHE S82240 at 0.6787
either by recalling that the distribution of n(θ̂kn − θ0 ) under GAPD X01677 f at 0.6778
H0k is asymptotically normal or by using RPC Y11651 at 0.6520
P63 X69910 at 0.6282
1   n
B
 H2AFZ M37583 at 0.6110
p̃B,∗
k = I θ̂k > θ̃jK,n , (40) INHA X04445 rna1 s at 0.5628
B KIAA0005 D13630 at 0.4733
j=1
KIAA0084 D42043 at 0.4718
NULL AFFX−HUMGAPDH/M33197 M at 0.4492
based on B permutation resampling replicates instead of the
5T4 Z29083 at 0.4466
adjusted P-value (29). Many FDR type methods assume that GARS U09510 s at 0.4090
the K tests are mutually independent. It is noted that the HRB L42025 rna1 at 0.3719
aforementioned unadjusted P-values are not necessarily mutu- SLC2A1 K03195 at 0.3618
ally independent. The permutation FWER adjusted P-values CASP4 U28014 at 0.3520
based on the proposed method were presented in Table 4, CDC6 U77949 at 0.3279
where we have additionally provided the permutation unad- STC1 U25997 at 0.2442
justed P-values, using (40) along with the corresponding q- PEX7 U88871 at 0.2303
values as discussed in Storey (2002). All of the q-values for ADM D14874 at 0.1155
the top thirty gene list are less than 0.1. TMF1 L01042 at 0.1096
As pointed out in the previous section, the top thirty list
obtained by the method proposed in this paper does not co-
incide with that obtained by the nonparametric Cox method. and
Given that the methods used in Beer et al. (2002) are based    
Λ+ θ̃K,n ; θ0 = max θ̃1n − θ0 , . . . , θ̃K
n
− θ0 , (42)
on asymptotics and do not adjust for multiplicity, we decided
to repeat our permutation based analysis using parametric and by using the α and 1 − α quantiles, respectively.
Cox regression using B = 10,000 replicates, so as to enable The proposed method, as presented, is useful for studies
a direct comparison among the three methods when applied where the objective is to identify individual genes which are
to this data set. The resulting list is provided in Table 5. At associated with the time-to-event outcome. In some cases,
a two-sided FWER level of 0.15, only two genes TMF1 and what may be of interest is to identify collection or clusters of
ADM, with adjusted P-values of 0.1096 and 0.1155, are signif- genes, sometimes referred to as metagenes or gene signatures,
icant. Overall this list of genes differs considerably from those which are associated with the outcome variable. The proposed
of Table 4 (copula method) and Table II (Jung et al., 2005; method may be easily modified to accommodate this multi-
nonparametric Cox method). We also observe that this list variate approach. One can, for example, create metagenes as
contains two housekeeping genes (probeset ids start with the linear combinations of the gene-expression vectors, using an
string AFFX), one of which has an adjusted P-value of less appropriate dimension-reduction technique, and then identify
than 0.5. The comparison of the lists based on the three meth- those vectors which are associated with the time-to-event vari-
ods, all of which theoretically control FWER, suggests that able using the method proposed in this paper. One may also
the results are greatly sensitive to the method employed. consider using the proposed method to filter out genes whose
We have considered the so-called two-sided problem in our unadjusted P-value are below a certain threshold and then
discussions. The one-sided variants are easily obtained by us- attempt to find clusters among the remaining genes using un-
ing the following modified versions of (26) supervised learning methods.
    We have limited our discussion to the case of indepen-
Λ− θ̃K,n ; θ0 = min θ̃1n − θ0 , . . . , θ̃K
n
− θ0 , (41) dent right censoring. The assumption of independence can be
1098 Biometrics, December 2007
weakened to that of conditional independence on the gene ex-
pression. Other censoring mechanisms (e.g., interval censor-
ing) may be considered by expressing the likelihood function
in (17) mutatis mutandis in terms of the copula function and
its partial derivatives. The plug-in estimation method of the
dependence parameter of bivariate copulas in the framework
of bivariate survival subject to interval censoring has been
presented in Sun, Wang, and Sun (2006).
6. Supplementary Material
Supplementary materials for this paper may be accessed at
the Biometrics website http://www.tibs.org/biometrics.
Acknowledgements
The authors would like to thank the editor, an associate edi-
tor, and two referees for insightful comments and suggestions
that have led to a substantially improved paper.
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Received September 2005. Revised December 2006.
Accepted January 2007.