Brazilian Journal of Probability and Statistics

Polyhazard models with dependent causes

Rodrigo Tsai and Luiz Koodi Hotta

Full-text: Open access

Abstract

Polyhazard models constitute a flexible family for fitting lifetime data. The main advantages over single hazard models include the ability to represent hazard rate functions with unusual shapes and the ease of including covariates. The primary goal of this paper was to include dependence among the latent causes of failure by modeling dependence using copula functions. The choice of the copula function as well as the latent hazard functions results in a flexible class of survival functions that is able to represent hazard rate functions with unusual shapes, such as bathtub or multimodal curves, while also modeling local effects associated with competing risks. The model is applied to two sets of simulated data as well as to data representing the unemployment duration of a sample of socially insured German workers. Model identification and estimation are also discussed.

Article information

Source
Braz. J. Probab. Stat., Volume 27, Number 3 (2013), 357-376.

Dates
First available in Project Euclid: 28 May 2013

Permanent link to this document
https://projecteuclid.org/euclid.bjps/1369746498

Digital Object Identifier
doi:10.1214/12-BJPS185

Mathematical Reviews number (MathSciNet)
MR3064728

Zentralblatt MATH identifier
1298.62109

Keywords
Polyhazard models copula competing risks

Citation

Tsai, Rodrigo; Hotta, Luiz Koodi. Polyhazard models with dependent causes. Braz. J. Probab. Stat. 27 (2013), no. 3, 357--376. doi:10.1214/12-BJPS185. https://projecteuclid.org/euclid.bjps/1369746498


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