Vine copula based likelihood estimation of dependence patterns in multivariate event time data
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Publication:1662047
maximum likelihood estimationright-censoringsurvival analysisvine copulasdependence modelingmultivariate event time data
Computational methods for problems pertaining to statistics (62-08) Estimation in survival analysis and censored data (62N02) Applications of statistics to biology and medical sciences; meta analysis (62P10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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
(12)- A vine copula approach for regression analysis of bivariate current status data with informative censoring
- Analyzing dependent data with vine copulas. A practical guide with R
- Copula based flexible modeling of associations between clustered event times
- Spatial composite likelihood inference using local C-vines
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- Analysis of ordinal and continuous longitudinal responses using pair copula construction
- Prediction based on conditional distributions of vine copulas
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