A covariance-based test for shared frailty in multivariate lifetime data


Kimber, Alan and Sarker, Shah-Jalal (2012) A covariance-based test for shared frailty in multivariate lifetime data. Journal of Applied Statistics, 38, (11), 2509-2522. (doi:10.1080/02664763.2012.720966).

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Description/Abstract

We decompose the score statistic for testing for shared finite variance frailty in multivariate lifetime data into marginal and covariance-based terms. The null properties of the covariance-based statistic are derived in the context of parametric lifetime models. Its non-null properties are estimated using simulation and compared with those of the score test and two likelihood ratio tests when the underlying lifetime distribution is Weibull. Some examples are used to illustrate the covariance-based test. A case is made for using the covariance-based statistic as a simple diagnostic procedure for shared frailty in a parametric exploratory analysis of multivariate lifetime data and a link to the bivariate Clayton-Oakes copula model is shown.

Item Type: Article
ISSNs: 0266-4763 (print)
1360-0532 (electronic)
Keywords: finite variance frailty, gamma frailty, multivariate lifetimes, positive stable frailty, proportional hazards, score statistic, survival analysis, weibull distribution
Subjects: H Social Sciences > HA Statistics
Q Science > QA Mathematics
Divisions: University Structure - Pre August 2011 > Southampton Statistical Sciences Research Institute
Faculty of Social and Human Sciences > Mathematical Sciences > Statistics
Faculty of Social and Human Sciences > Southampton Statistical Sciences Research Institute
ePrint ID: 188275
Date Deposited: 24 May 2011 08:10
Last Modified: 27 Mar 2014 19:41
URI: http://eprints.soton.ac.uk/id/eprint/188275

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