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A single risk approach to the semiparametric copula competing risks model

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  • Simon M. S. Lo
  • Ralf A. Wilke

Abstract

A typical situation in competing risks analysis is that the researcher is only interested in a subset of risks. This paper considers a depending competing risks model with the distribution of one risk being a parametric or semi-parametric model, while the model for the other risks being unknown. Identifiability is shown for popular classes of parametric models and the semiparametric proportional hazards model. The identifiability of the parametric models does not require a covariate, while the semiparametric model requires at least one. Estimation approaches are suggested which are shown to be $\sqrt{n}$-consistent. Applicability and attractive finite sample performance are demonstrated with the help of simulations and data examples.

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  • Simon M. S. Lo & Ralf A. Wilke, 2022. "A single risk approach to the semiparametric copula competing risks model," Papers 2205.06087, arXiv.org.
    • Handle: RePEc:arx:papers:2205.06087
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    References listed on IDEAS

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    1. Heckman, James & Singer, Burton, 1984. "A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data," Econometrica, Econometric Society, vol. 52(2), pages 271-320, March.
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