Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing
AbstractWe propose Bayesian inference in hazard regression models where the baseline hazard is unknown, covariate effects are possibly age-varying (non-proportional), and there is multiplicative frailty with arbitrary distribution. Our framework incorporates a wide variety of order restrictions on covariate dependence and duration dependence (ageing). We propose estimation and evaluation of age-varying covariate effects when covariate dependence is monotone rather than proportional. In particular, we consider situations where the lifetime conditional on a higher value of the covariate ages faster or slower than that conditional on a lower value; this kind of situation is common in applications. In addition, there may be restrictions on the nature of ageing. For example, relevant theory may suggest that the baseline hazard function decreases with age. The proposed framework enables evaluation of order restrictions in the nature of both covariate and duration dependence as well as estimation of hazard regression models under such restrictions. The usefulness of the proposed Bayesian model and inference methods are illustrated with an application to corporate bankruptcies in the UK.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 3938.
Date of creation: 2007
Date of revision:
Bayesian nonparametrics; Nonproportional hazards; Frailty; Age-varying covariate e¤ects; Ageing;
Other versions of this item:
- Arnab Bhattacharjee & Madhuchhanda Bhattacharjee, 2007. "Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing," Discussion Paper Series, Department of Economics 200707, Department of Economics, University of St. Andrews.
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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