Modeling of semi-competing risks by means of first passage times of a stochastic process

Beate Sildnes () and Bo Henry Lindqvist ()
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Beate Sildnes: Norwegian University of Science and Technology
Bo Henry Lindqvist: Norwegian University of Science and Technology

Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, 2018, vol. 24, issue 1, No 9, 153-175

Abstract: Abstract In semi-competing risks one considers a terminal event, such as death of a person, and a non-terminal event, such as disease recurrence. We present a model where the time to the terminal event is the first passage time to a fixed level c in a stochastic process, while the time to the non-terminal event is represented by the first passage time of the same process to a stochastic threshold S, assumed to be independent of the stochastic process. In order to be explicit, we let the stochastic process be a gamma process, but other processes with independent increments may alternatively be used. For semi-competing risks this appears to be a new modeling approach, being an alternative to traditional approaches based on illness-death models and copula models. In this paper we consider a fully parametric approach. The likelihood function is derived and statistical inference in the model is illustrated on both simulated and real data.

Keywords: Competing risks; First passage time; Gamma process; Random signs censoring (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10985-017-9399-y

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