A Nested Copula Duration Model for Competing Risks with Multiple Spells

Simon M. S.  Lo; Enno Mammen; Ralf Wilke

doi:10.1016/j.csda.2020.106986

A Nested Copula Duration Model for Competing Risks with Multiple Spells

Simon M. S. Lo, Enno Mammen, Ralf Wilke

Department of Economics

Research output: Contribution to journal › Journal article › Research › peer-review

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 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.

Original language	English
Article number	106986
Journal	Computational Statistics & Data Analysis
Volume	150
Number of pages	32
ISSN	0167-9473
DOIs	https://doi.org/10.1016/j.csda.2020.106986
Publication status	Published - Oct 2020

Bibliographical note

Published online: 25 April 2020

Keywords

Nested archimedean coupla
Multiple occurrences
Frailty

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title = "A Nested Copula Duration Model for Competing Risks with Multiple Spells",

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 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.",

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