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Examining the identifiability and estimability of the phase-type ageing model

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  • Boquan Cheng

    (The University of Western Ontario)

  • Rogemar Mamon

    (The University of Western Ontario
    University of the Philippines Visayas)

Abstract

In this paper, the identifiability and the estimability of a particular phase-type ageing model (PTAM) are investigated. We consider a PTAM that is shown to be identifiable, although it has poor estimability when the only observation is the time until absorption. We use a data-cloning method to assess model estimability, which is also analysed visually via contour plots and marginal likelihood functions. The PTAM’s estimability under different scenarios is compared, from the best scenario of a fully observable Markov process for each individual to the worst scenario wherein the only observation is the time until absorption for each individual. Some in-between scenarios are also studied and include the situations where the state could be observed every several years and the state could be measured with some error. Certain conditions are provided regarding the state of the Markov chain that improves the PTAM’s estimability.

Suggested Citation

  • Boquan Cheng & Rogemar Mamon, 2024. "Examining the identifiability and estimability of the phase-type ageing model," Computational Statistics, Springer, vol. 39(2), pages 963-1004, April.
    • Handle: RePEc:spr:compst:v:39:y:2024:i:2:d:10.1007_s00180-023-01329-5
    DOI: 10.1007/s00180-023-01329-5
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    References listed on IDEAS

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