A nested copula duration model for competing risks with multiple spells

被引：11
|
作者：
Lo, Simon M. S. [1 ]
Mammen, Enno [2 ]
Wilke, Ralf A. [3 ]
机构：
[1] City Univ Hong Kong, Dept Econ & Finance, Hong Kong, Peoples R China
[2] Heidelberg Univ, Inst Appl Math, Heidelberg, Germany
[3] Copenhagen Business Sch, Dept Econ, Copenhagen, Denmark
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2020年 / 150卷 / 150期
关键词：
Nested archimedean copula; Multiple occurrences; Frailty; SURVIVAL;
D O I：
10.1016/j.csda.2020.106986
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
A copula graphic estimator for the competing risks duration model with multiple spells is presented. By adopting a nested copula structure the dependencies between risks and spells are modelled separately. This breaks up an implicit restriction of popular duration models such as multivariate mixed proportional hazards. It is shown that the dependence structure between spells is identifiable and can be estimated, in contrast to the dependence structure between competing risks. Thus, by allowing these two components to differ, the model is not identifiable. This is an important finding related to the general identifiability of competing risks models. Various features of the model are investigated by simulations and its practicality is illustrated by an application to unemployment duration data. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页数：15
相关论文
共 50 条
  • [1] A copula duration model with dependent states and spells
    Lo, Simon M.S.
    Shi, Shuolin
    Wilke, Ralf A.
    [J]. Computational Statistics and Data Analysis, 2025, 204
  • [2] A copula model for dependent competing risks
    Lo, Simon M. S.
    Wilke, Ralf A.
    [J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES C-APPLIED STATISTICS, 2010, 59 : 359 - 376
  • [3] Application of a nested trivariate copula structure in a competing duration hazard-based vehicle transaction decision model
    Rashidi, Taha Hossein
    Mohammadian, Kouros
    [J]. TRANSPORTMETRICA A-TRANSPORT SCIENCE, 2016, 12 (06) : 550 - 567
  • [4] Fitting competing risks with an assumed copula
    Escarela, G
    Carrière, JF
    [J]. STATISTICAL METHODS IN MEDICAL RESEARCH, 2003, 12 (04) : 333 - 349
  • [5] Parametric Degradation Model with Multiple Competing Risks
    Haghighi, F.
    Rad, N. Nazeri
    [J]. QUALITY TECHNOLOGY AND QUANTITATIVE MANAGEMENT, 2011, 8 (04): : 389 - 400
  • [6] Competing risks mixture model for traffic incident duration prediction
    Li, Ruimin
    Pereira, Francisco C.
    Ben-Akiva, Moshe E.
    [J]. ACCIDENT ANALYSIS AND PREVENTION, 2015, 75 : 192 - 201
  • [7] Competing risks regression with dependent multiple spells: Monte Carlo evidence and an application to maternity leave
    Cäcilia Lipowski
    Simon M. S. Lo
    Shuolin Shi
    Ralf A. Wilke
    [J]. Japanese Journal of Statistics and Data Science, 2021, 4 : 953 - 981
  • [8] Competing risks regression with dependent multiple spells: Monte Carlo evidence and an application to maternity leave
    Lipowski, Cacilia
    Lo, Simon M. S.
    Shi, Shuolin
    Wilke, Ralf A.
    [J]. JAPANESE JOURNAL OF STATISTICS AND DATA SCIENCE, 2021, 4 (02) : 953 - 981
  • [9] Estimation of the Frank copula model for dependent competing risks in accelerated life testing
    Hove H.
    Beichelt F.
    Kapur P.K.
    [J]. International Journal of System Assurance Engineering and Management, 2017, 8 (4) : 673 - 682
  • [10] SPECIFICATION TESTS FOR THE COMPETING RISKS DURATION MODEL - AN APPLICATION TO UNEMPLOYMENT DURATION AND SECTORAL MOVEMENT
    PUDNEY, S
    THOMAS, J
    [J]. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 1995, 57 (03) : 323 - 347
12345