A Copula Model for Dependent Competing Risks

Simon M. S. Lo, Ralf Wilke

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Abstrakt

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.
OriginalsprogEngelsk
TidsskriftJournal of the Royal Statistical Society, Series C (Applied Statistics)
Vol/bind59
Udgave nummer2
Sider (fra-til)359–376
ISSN0035-9254
DOI
StatusUdgivet - 2010
Udgivet eksterntJa

Emneord

  • Archimedean copula
  • Dependent censoring
  • Duration of unemployment

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