A copula model for dependent competing risks

Simon M.S. Lo, Ralf A. Wilke

Research output: Contribution to journalArticlepeer-review

60 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 - Mar 2010
Externally publishedYes

Keywords

  • Archimedean copula
  • Dependent censoring
  • Duration of unemployment

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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