Copula Based Flexible Modeling of Associations between Clustered Event Times

21 Pages Posted: 4 Sep 2015

See all articles by Candida Geerdens

Candida Geerdens

Hasselt University

Gerda Claeskens

KU Leuven - Department of Economics

Paul Janssen

Hasselt University. Center for Statistics; North-West University

Date Written: 2015

Abstract

Multivariate survival data are characterized by the presence of correlation between event times within the same cluster. First, we build multi-dimensional copulas with flexible and possibly symmetric dependence structures for such data. In particular, clustered right-censored survival data are modeled using mixtures of max-infinitely divisible bivariate copulas. Second, these copulas are fit by a likelihood approach where the vast amount of copula derivatives present in the likelihood is approximated by finite differences. Third, we formulate conditions for clustered right-censored survival data under which an information criterion for model selection is either weakly consistent or consistent. Several of the familiar selection criteria are included. A set of four-dimensional data on time-tomastitis is used to demonstrate the developed methodology.

Keywords: clustered data, copulas, model selection, multivariate data, right-censoring, survival data.

Suggested Citation

Geerdens, Candida and Claeskens, Gerda and Janssen, Paul, Copula Based Flexible Modeling of Associations between Clustered Event Times (2015). Available at SSRN: https://ssrn.com/abstract=2655577 or http://dx.doi.org/10.2139/ssrn.2655577

Candida Geerdens (Contact Author)

Hasselt University ( email )

Agoralaan - building D
Gebouw D
Diepenbeek, 3590
Belgium

Gerda Claeskens

KU Leuven - Department of Economics ( email )

Leuven, B-3000
Belgium

Paul Janssen

Hasselt University. Center for Statistics ( email )

Agoralaan - building D
Gebouw D
Diepenbeek, 3590
Belgium

North-West University ( email )

Private Bag X6001
Faculty of Economic and Management Sciences
Potchefstroom, Northwest 2520
South Africa

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