A copula model for dependent competing risks

Ming Sum, Simon LO, R. A. WILKE

Research output: Journal PublicationsJournal Article (refereed)

36 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)359-376
Number of pages18
JournalJournal of the Royal Statistical Society. Series C: Applied Statistics
Volume59
Issue number2
DOIs
Publication statusPublished - 1 Jan 2010

Keywords

  • Archimedean copula
  • Dependent censoring
  • Duration of unemployment

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