{"title":"A single risk approach to the semiparametric competing risks model with parametric Archimedean risk dependence","authors":"Simon M.S. Lo , Ralf A. Wilke","doi":"10.1016/j.jmva.2023.105276","DOIUrl":null,"url":null,"abstract":"<div><p>This paper considers a dependent competing risks model with the distribution of one risk being a semiparametric proportional hazards model, whereas the model for the other risks and the degree of risk dependence of an Archimedean copula are unknown. Identifiability is shown when there is at least one covariate with at least two values. Estimation is done by means of a <span><math><msqrt><mrow><mi>n</mi></mrow></msqrt></math></span>-consistent semiparametric two-step procedure. Applicability and attractive finite sample performance are demonstrated with the help of simulations. An application to unemployment duration confirms the importance of estimating rather than assuming risk dependence.</p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":null,"pages":null},"PeriodicalIF":1.4000,"publicationDate":"2023-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0047259X23001227/pdfft?md5=ddb27eca7b668c675ebd4fe43bdd4f7b&pid=1-s2.0-S0047259X23001227-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Multivariate Analysis","FirstCategoryId":"100","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0047259X23001227","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
This paper considers a dependent competing risks model with the distribution of one risk being a semiparametric proportional hazards model, whereas the model for the other risks and the degree of risk dependence of an Archimedean copula are unknown. Identifiability is shown when there is at least one covariate with at least two values. Estimation is done by means of a -consistent semiparametric two-step procedure. Applicability and attractive finite sample performance are demonstrated with the help of simulations. An application to unemployment duration confirms the importance of estimating rather than assuming risk dependence.
期刊介绍：
Founded in 1971, the Journal of Multivariate Analysis (JMVA) is the central venue for the publication of new, relevant methodology and particularly innovative applications pertaining to the analysis and interpretation of multidimensional data.
The journal welcomes contributions to all aspects of multivariate data analysis and modeling, including cluster analysis, discriminant analysis, factor analysis, and multidimensional continuous or discrete distribution theory. Topics of current interest include, but are not limited to, inferential aspects of
Copula modeling
Functional data analysis
Graphical modeling
High-dimensional data analysis
Image analysis
Multivariate extreme-value theory
Sparse modeling
Spatial statistics.
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