The University of Southampton
University of Southampton Institutional Repository

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), pp. 2509-2522. (doi:10.1080/02664763.2012.720966).

Record type: Article


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.

PDF s3ri-workingpaper-M11-09.pdf - Version of Record
Download (163kB)
PDF 02664763.2012.720966[1].pdf - Version of Record
Restricted to Repository staff only
Download (161kB)

More information

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.


Local EPrints ID: 188275
ISSN: 0266-4763
PURE UUID: a0d548ce-e0bf-4d35-8f17-3757e61b4869

Catalogue record

Date deposited: 24 May 2011 08:10
Last modified: 18 Jul 2017 11:42

Export record


Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton:

ePrints Soton supports OAI 2.0 with a base URL of

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.