The distribution of unobserved heterogeneity in competing risks models

Yang Lu

Statistical Papers, 2020, vol. 61, issue 2, No 8, 696 pages

Abstract: Abstract We show that in a large class of proportional hazard competing risks models, the distribution of the bivariate frailty among survivors converges to a limiting distribution. This generalizes the result of Abbring and van den Berg (Biometrika 94(1):87–99, 2007), who show that in a single spell duration model, the frailty distribution converges to the gamma distribution. The resulting limiting distribution has an interpretation in terms of partition of a gamma distribution, and allows for both positive and negative correlation between the survival variables. This result provides a natural and flexible specification for the frailty in competing risks models.

Keywords: Dependent competing risks; Unobserved heterogeneity; Regular variation; Large duration survivor (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s00362-017-0956-y

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