Phase-type models for competing risks, with emphasis on identifiability issues

Bo Henry Lindqvist ()
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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, 2023, vol. 29, issue 2, No 4, 318-341

Abstract: Abstract We first review some main results for phase-type distributions, including a discussion of Coxian distributions and their canonical representations. We then consider the extension of phase-type modeling to cover competing risks. This extension involves the consideration of finite state Markov chains with more than one absorbing state, letting each absorbing state correspond to a particular risk. The non-uniqueness of Markov chain representations of phase-type distributions is well known. In the paper we study corresponding issues for the competing risks case with the aim of obtaining identifiable parameterizations. Statistical inference for the Coxian competing risks model is briefly discussed and some real data are analyzed for illustration.

Keywords: Phase-type distribution; Coxian distribution; Competing risks; Identifiability (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10985-022-09547-7

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