Bhattacharjee, Arnab and Bhattacharjee, Madhuchhanda (2007): Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing.

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Abstract
We propose Bayesian inference in hazard regression models where the baseline hazard is unknown, covariate effects are possibly agevarying (nonproportional), 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 agevarying 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.
Item Type:  MPRA Paper 

Institution:  University of St Andrews 
Original Title:  Bayesian Analysis of Hazard Regression Models under Order Restrictions on Covariate Effects and Ageing 
Language:  English 
Keywords:  Bayesian nonparametrics; Nonproportional hazards; Frailty; Agevarying covariate e¤ects; Ageing 
Subjects:  C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C41  Duration Analysis ; Optimal Timing Strategies C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C11  Bayesian Analysis: General 
Item ID:  3938 
Depositing User:  Arnab Bhattacharjee 
Date Deposited:  09 Jul 2007 
Last Modified:  29 Sep 2019 12:50 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/3938 