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Shrinkage estimation of the exponentiated Weibull regression model for time‐to‐event data

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  • Shakhawat Hossain
  • Shahedul A. Khan

Abstract

The exponentiated Weibull distribution is a convenient alternative to the generalized gamma distribution to model time‐to‐event data. It accommodates both monotone and nonmonotone hazard shapes, and flexible enough to describe data with wide ranging characteristics. It can also be used for regression analysis of time‐to‐event data. The maximum likelihood method is thus far the most widely used technique for inference, though there is a considerable body of research of improving the maximum likelihood estimators in terms of asymptotic efficiency. For example, there has recently been considerable attention on applying James–Stein shrinkage ideas to parameter estimation in regression models. We propose nonpenalty shrinkage estimation for the exponentiated Weibull regression model for time‐to‐event data. Comparative studies suggest that the shrinkage estimators outperform the maximum likelihood estimators in terms of statistical efficiency. Overall, the shrinkage method leads to more accurate statistical inference, a fundamental and desirable component of statistical theory.

Suggested Citation

  • Shakhawat Hossain & Shahedul A. Khan, 2020. "Shrinkage estimation of the exponentiated Weibull regression model for time‐to‐event data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 74(4), pages 592-610, November.
    • Handle: RePEc:bla:stanee:v:74:y:2020:i:4:p:592-610
    DOI: 10.1111/stan.12220
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    References listed on IDEAS

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