A Nested Copula Duration Model for Competing Risks with Multiple Spells

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

Research output: Contribution to journalJournal articleResearchpeer-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 languageEnglish
Article number106986
JournalComputational Statistics & Data Analysis
Volume150
Number of pages32
ISSN0167-9473
DOIs
Publication statusPublished - Oct 2020

Bibliographical note

Published online: 25 April 2020

Keywords

  • Nested archimedean coupla
  • Multiple occurrences
  • Frailty

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