An Akaike Information Criterion for Multiple Event Mixture Cure Models

30 Pages Posted: 13 Sep 2014

See all articles by Lore Dirick

Lore Dirick

KU Leuven - Faculty of Business and Economics (FEB)

Gerda Claeskens

KU Leuven - Department of Economics

Bart Baesens

KU Leuven - Faculty of Business and Economics (FEB)

Date Written: May 21, 2014

Abstract

We derive the proper form of the Akaike information criterion for variable selection for mixture cure models, which are often fit via the expectation-maximization algorithm. Separate covariate sets may be used in the mixture components. The selection criteria are applicable to survival models for right-censored data with multiple competing risks and allow for the presence of an insusceptible group. The method is illustrated on credit loan data, with pre-payment and default as events and maturity as the insusceptible case and is used in a simulation study.

Keywords: Akaike information criterion, Competing risks, EM-algorithm, Mixture cure model, Model selection.

Suggested Citation

Dirick, Lore and Claeskens, Gerda and Baesens, Bart, An Akaike Information Criterion for Multiple Event Mixture Cure Models (May 21, 2014). Available at SSRN: https://ssrn.com/abstract=2495331 or http://dx.doi.org/10.2139/ssrn.2495331

Lore Dirick (Contact Author)

KU Leuven - Faculty of Business and Economics (FEB) ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

Gerda Claeskens

KU Leuven - Department of Economics ( email )

Leuven, B-3000
Belgium

Bart Baesens

KU Leuven - Faculty of Business and Economics (FEB) ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

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