A note on computing average state occupation times

Jan Beyersmann and Hein Putter
Additional contact information
Jan Beyersmann: Universität Ulm
Hein Putter: Universiteit Leiden

Demographic Research, 2014, vol. 30, issue 62, 1681-1696

Abstract: Objective: This review discusses how biometricians would probably compute or estimate expected waiting times, if they had the data. Methods: Our framework is a time-inhomogeneous Markov multistate model, where all transition hazards are allowed to be time-varying. We assume that the cumulative transition hazards are given. That is, they are either known, as in a simulation, determined by expert guesses, or obtained via some method of statistical estimation. Our basic tool is product integration, which transforms the transition hazards into the matrix of transition probabilities. Product integration enjoys a rich mathematical theory, which has successfully been used to study probabilistic and statistical aspects of multistate models. Our emphasis will be on practical implementation of product integration, which allows us to numerically approximate the transition probabilities. Average state occupation times and other quantities of interest may then be derived from the transition probabilities.

Keywords: event history analysis; multistate models (search for similar items in EconPapers)
JEL-codes: J1 Z0 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.demographic-research.org/volumes/vol30/62/30-62.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dem:demres:v:30:y:2014:i:62

DOI: 10.4054/DemRes.2014.30.62

Access Statistics for this article

More articles in Demographic Research from Max Planck Institute for Demographic Research, Rostock, Germany
Bibliographic data for series maintained by Editorial Office ().