A copula model for dependent competing risks
Document Type
Journal article
Source Publication
Journal of the Royal Statistical Society. Series C: Applied Statistics
Publication Date
1-1-2010
Volume
59
Issue
2
First Page
359
Last Page
376
Keywords
Archimedean copula, Dependent censoring, Duration of unemployment
Abstract
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.
DOI
10.1111/j.1467-9876.2009.00695.x
Print ISSN
00359254
Publisher Statement
Copyright © 2010 Royal Statistical Society. Access to external full text or publisher's version may require subscription.
Full-text Version
Publisher’s Version
Language
English
Recommended Citation
Lo, S. M. S., & Wilke, R. A. (2011). A copula model for dependent competing risks. Journal of the Royal Statistical Society. Series C: Applied Statistics, 59(2), 359-376. doi:10.1111/j.1467-9876.2009.00695.x