A nested copula duration model for competing risks with multiple spells

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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Author(s)

  • Simon M.S. Lo
  • Ennon Mammen
  • Ralf Wilke

Related Research Unit(s)

Detail(s)

Original languageEnglish
Article number106986
Journal / PublicationComputational Statistics and Data Analysis
Volume150
Online published25 Apr 2020
Publication statusPublished - Oct 2020

Abstract

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 identiable 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 identiable. This is an important nding related to the general identiability 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.

Research Area(s)

  • Nested archimedean copula, Multiple occurrences, Frailty