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

Kimber, Alan and Sarker, Shah-Jalal (2011) 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).

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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
Digital Object Identifier (DOI): doi:10.1080/02664763.2012.720966
ISSNs: 0266-4763 (print)
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
ePrint ID: 344657
Date :
Date Event
23 May 2011e-pub ahead of print
13 September 2012Published
Date Deposited: 02 Nov 2012 11:36
Last Modified: 17 Apr 2017 16:26
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/344657

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