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

DOI10.1016/j.csda.2017.07.010zbMath1469.62017arXiv1603.01476OpenAlexW2749783303MaRDI QIDQ1662047

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

Publication date: 17 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.01476

zbMATH Keywords

maximum likelihood estimationsurvival analysisdependence modelingright-censoringvine copulasmultivariate event time data

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to biology and medical sciences; meta analysis (62P10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in survival analysis and censored data (62N02)

Related Items (7)

Factor copula models for right-censored clustered survival data ⋮ Analysis of ordinal and continuous longitudinal responses using pair copula construction ⋮ Predicting times to event based on vine copula models ⋮ Copula link-based additive models for bivariate time-to-event outcomes with general censoring scheme ⋮ Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction ⋮ Prediction based on conditional distributions of vine copulas ⋮ A vine copula approach for regression analysis of bivariate current status data with informative censoring

Uses Software

• VineCopula
• bootlib

Cites Work

• Unnamed Item
• Unnamed Item
• Pair-copula constructions of multiple dependence
• Selecting and estimating regular vine copulae and application to financial returns
• Simplified pair copula constructions -- limitations and extensions
• Estimation and model selection of semiparametric multivariate survival functions under general censorship
• Parametric families of multivariate distributions with given margins
• An introduction to copulas.
• Modelling udder infection data using copula models for quadruples
• On the simplified pair-copula construction -- simply useful or too simplistic?
• Sampling Archimedean copulas
• Vines -- a new graphical model for dependent random variables.
• Multivariate distributions from mixtures of max-infinitely divisible distributions
• Parameter estimation for pair-copula constructions
• Copula based flexible modeling of associations between clustered event times
• Two-stage estimation in copula models used in family studies
• The frailty model.
• Truncated regular vines in high dimensions with application to financial data
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data

This page was built for publication: Vine copula based likelihood estimation of dependence patterns in multivariate event time data