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On the identifiability of copulas in bivariate competing risks models

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Schwarz, Maik [UCL] Jongbloed, Geurt [Delft University of Technology, The Netherlands] Van Keilegom, Ingrid [UCL]

In competing risks models, the joint distribution of the event times is not identifiable even when the margins are fully known, which has been referred to as the “identifiability crisis in competing risks analysis” (Crowder, 1991). We model the dependence between the event times by an unknown copula and show that identification is actually possible within many frequently used families of copulas. The result is then extended to the case where one margin is unknown.

Document type Document de travail (Working Paper)
Access type Accès libre
Publication date 2012
Language Anglais
Number of pages 16 pages
Collection ISBA Discussion Paper - 2012/32
Affiliation UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Keywords Copulas ; competing risks ; identification ; dependent censoring ; bivariate distribution
Links
Bibliographic reference Schwarz, Maik ; Jongbloed, Geurt ; Van Keilegom, Ingrid. On the identifiability of copulas in bivariate competing risks models. ISBA Discussion Paper ; 2012/32 (2012) 16 pages
Permanent URL http://hdl.handle.net/2078.1/128931