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

DOI10.1016/J.CSDA.2017.07.010zbMATH Open1469.62017arXiv1603.01476OpenAlexW2749783303MaRDI QIDQ1662047FDOQ1662047

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

Publication date: 17 August 2018

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

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.

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

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zbMATH Keywords

maximum likelihood estimationright-censoringsurvival analysisvine copulasdependence modelingmultivariate event time data

Mathematics Subject Classification ID

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)

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Cited In (9)

• Factor copula models for right-censored clustered survival data
• Prediction based on conditional distributions of vine copulas
• Analyzing dependent data with vine copulas. A practical guide with R
• Analysis of ordinal and continuous longitudinal responses using pair copula construction
• Copula link-based additive models for bivariate time-to-event outcomes with general censoring scheme
• Predicting times to event based on vine copula models
• Multivariate joint probability function of earthquake ground motion prediction equations based on vine copula approach
• 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

Uses Software

• VineCopula
• bootlib

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