Vine copula based likelihood estimation of dependence patterns in multivariate event time data
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dependence modelingmaximum likelihood estimationmultivariate event time dataright-censoringsurvival analysisvine copulas
Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in survival analysis and censored data (62N02) Applications of statistics to biology and medical sciences; meta analysis (62P10)
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.
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Cited in
(14)- Analyzing dependent data with vine copulas. A practical guide with R
- Prediction based on conditional distributions of vine copulas
- Analysis of ordinal and continuous longitudinal responses using pair copula construction
- Spatial composite likelihood inference using local C-vines
- Copula based flexible modeling of associations between clustered event times
- Predicting times to event based on vine copula models
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- A vine copula approach for regression analysis of bivariate current status data with informative censoring
- Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction
- Multivariate joint probability function of earthquake ground motion prediction equations based on vine copula approach
- A flexible copula model for bivariate survival data with dependent censoring
- Approximate Bayesian analysis for c-vine copula-based dependent model with multiple competing risks
- Factor copula models for right-censored clustered survival data
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