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Copula based flexible modeling of associations between clustered event times

Author

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  • Candida Geerdens
  • Gerda Claeskens
  • Paul Janssen

Abstract

Multivariate survival data are characterized by the presence of correlation between event times within the same cluster. First, we build multi-dimensional copulas with flexible and possibly symmetric dependence structures for such data. In particular, clustered right-censored survival data are modeled using mixtures of max-infinitely divisible bivariate copulas. Second, these copulas are fit by a likelihood approach where the vast amount of copula derivatives present in the likelihood is approximated by finite differences. Third, we formulate conditions for clustered right-censored survival data under which an information criterion for model selection is either weakly consistent or consistent. Several of the familiar selection criteria are included. A set of four-dimensional data on time-to mastitis is used to demonstrate the developed methodology.

Suggested Citation

  • Candida Geerdens & Gerda Claeskens & Paul Janssen, 2015. "Copula based flexible modeling of associations between clustered event times," Working Papers of Department of Decision Sciences and Information Management, Leuven 502865, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
    • Handle: RePEc:ete:kbiper:502865
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