A covariance-based test for shared frailty in multivariate lifetime data
A covariance-based test for shared frailty in multivariate lifetime data
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.
finite variance frailty, gamma frailty, multivariate lifetimes, positive stable frailty, proportional hazards, score statistic, survival analysis, weibull distribution
2509-2522
Kimber, Alan
40ba3a19-bbe3-47b6-9a8d-68ebf4cea774
Sarker, Shah-Jalal
5f0c81f3-6c2a-4b1c-a976-640baeee914c
13 September 2012
Kimber, Alan
40ba3a19-bbe3-47b6-9a8d-68ebf4cea774
Sarker, Shah-Jalal
5f0c81f3-6c2a-4b1c-a976-640baeee914c
Kimber, Alan and Sarker, Shah-Jalal
(2012)
A covariance-based test for shared frailty in multivariate lifetime data.
Journal of Applied Statistics, 38 (11), .
(doi:10.1080/02664763.2012.720966).
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.
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e-pub ahead of print date: 23 May 2011
Published date: 13 September 2012
Keywords:
finite variance frailty, gamma frailty, multivariate lifetimes, positive stable frailty, proportional hazards, score statistic, survival analysis, weibull distribution
Organisations:
Statistics, Statistical Sciences Research Institute, Southampton Statistical Research Inst.
Identifiers
Local EPrints ID: 188275
URI: http://eprints.soton.ac.uk/id/eprint/188275
ISSN: 0266-4763
PURE UUID: a0d548ce-e0bf-4d35-8f17-3757e61b4869
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Date deposited: 24 May 2011 08:10
Last modified: 14 Mar 2024 03:30
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Author:
Shah-Jalal Sarker
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