Competing Risks Modeling by Extended Phase-Type Semi-Markov Distributions

Brenda Garcia-Maya (), Nikolaos Limnios () and Bo Henry Lindqvist ()
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Brenda Garcia-Maya: Université de Technologie de Compiègne
Nikolaos Limnios: Université de Technologie de Compiègne
Bo Henry Lindqvist: Norwegian University of Science and Technology

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 1, 309-319

Abstract: Abstract We present competing risks models within a semi-Markov process framework via the semi-Markov phase-type distribution. We consider semi-Markov processes in continuous and discrete time with a finite number of transient states and a finite number of absorbing states. Each absorbing state represents a failure mode (in system reliability) or a cause of death of an individual (in survival analysis). This is an extension of the continuous-time Markov competing risks model presented in Lindqvist and Kjølen (2018). We derive the joint distribution of the lifetime and the failure cause via the transition function of semi-Markov processes in continuous and discrete-time. Some examples are given for illustration.

Keywords: Competing risks; Semi-Markov process; Extended semi-Markov Ph-distributions; Survival analysis; 60K15 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-020-09839-1

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