A copula model for dependent competing risks
A copula model for dependent competing risks
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DOI：
10.1111/j.1467-9876.2009.00695.x
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发表时间：
2010-01-01
影响因子：
1.6
通讯作者：
Wilke, Ralf A.
中科院分区：
文献类型：
--
作者：
Lo, Simon M. S.;Wilke, Ralf A.
许多流行的持续时间模型估计需要独立的竞争风险或独立的审查。相反，基于copula的估计器在存在依赖竞争风险时也是一致的。我们提出了一种计算上方便的扩展，将copula图估计器推广到具有两个以上相互依赖的竞争风险的模型。我们通过模拟和德国的失业持续时间数据分析了该估计器的适用性。我们得到的证据表明，如果依赖结构是已知的，我们的估计器会产生很好的结果，并且它是评估应用持续时间研究中（非）依赖假设相关性的有力工具。
Many popular estimators for duration models require independent competing risks or independent censoring. In contrast, copula-based estimators are also consistent in the presence of dependent competing risks. We suggest a computationally convenient extension of the copula graphic estimator to a model with more than two dependent competing risks. We analyse the applicability of this estimator by means of simulations and unemployment duration data from Germany. We obtain evidence that our estimator yields nice results if the dependence structure is known and that it is a powerful tool for the assessment of the relevance of (in-)dependence assumptions in applied duration research.