Vine copula based likelihood estimation of dependence patterns in multivariate event time data

Nicole Barthel, Candida Geerdens, Matthias Killiches, Paul Janssen and Claudia Czado

Computational Statistics & Data Analysis, 2018, vol. 117, issue C, 109-127

Abstract: In many studies multivariate event time data are generated from clusters having a possibly complex association pattern. Flexible models are needed to capture this dependence. Vine copulas serve this purpose. Inference methods for vine copulas are available for complete data. Event time data, however, are often subject to right-censoring. As a consequence, the existing inferential tools, e.g. likelihood estimation, need to be adapted. A two-stage estimation approach is proposed. First, the marginal distributions are modeled. Second, the dependence structure modeled by a vine copula is estimated via likelihood maximization. Due to the right-censoring single and double integrals show up in the copula likelihood expression such that numerical integration is needed for its evaluation. For the dependence modeling a sequential estimation approach that facilitates the computational challenges of the likelihood optimization is provided. A three-dimensional simulation study provides evidence for the good finite sample performance of the proposed method. Using four-dimensional mastitis data, it is shown how an appropriate vine copula model can be selected for data at hand.

Keywords: Dependence modeling; Multivariate event time data; Maximum likelihood estimation; Right-censoring; Survival analysis; Vine copulas (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:117:y:2018:i:c:p:109-127

DOI: 10.1016/j.csda.2017.07.010

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